Renewal processes based on generalized Mittag-Leffler waiting times (Q391467)

The classical Mittag-Leffer distribution corresponds to a random variable \( X(\lambda ,\nu )\) with Laplace transform \(\phi _{1}(s)=\lambda /(\lambda +s^{\nu })\), where \(\lambda >0\) and \(0<\nu \leq 1\). In the paper, the authors consider two generalizations as follows. In the first case, they consider random variables \(X(\delta ,\lambda ,\nu )\) with Laplace transform \(\phi _{\delta }(s)=(\phi _{1}(s))^{\delta }\). In the second case, they consider random variables of the form \(Y=(X(\lambda ,\nu ))^{\nu /\lambda }\). For both cases the authors study properties of the renewal process generated by these new variables. Also, they show how to estimate the parameters of these processes and use simulation to discuss the bias and the root-mean-square-error.