When is the Conway-Maxwell-Poisson distribution infinitely divisible?

DOI10.1016/J.SPL.2021.109264MaRDI QIDQ2070628zbMATH OpenOpenAlexFDO

Authors Aihua Xia, X. Geng

Publication date 24 January 2022

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2011.04852

zbMATH Keywords

Conway-Maxwell-Poisson distributionentire functioninfinite divisibility

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05)

Abstract: An essential character for a distribution to play a central role in the limit theory is infinite divisibility. In this note, we prove that the Conway-Maxwell-Poisson (CMP) distribution is infinitely divisible iff it is the Poisson or geometric distribution. This explains that, despite its applications in a wide range of fields, there is no theoretical foundation for the CMP distribution to be a natural candidate for the law of small numbers.

Review text

The Conway-Maxwell-Poisson distribution has the probability mass \[ p_k=\frac{1}{Z(\lambda,v)}\,\frac{\lambda^k}{(k!)^v}\quad k=0,1,\dots, \] where either \(\lambda,v>0\) or \(v=0\) and \(\lambda\in\left]0,1\right[\) and \(Z(\lambda,v)\) is a normalizing constant. The authors prove that this distribution is infinitely divisible if and only if either \(v=1\), when it is a Poisson distribution with parameter \(\lambda\), or \(v=0\), when it is a geometric distribution. This result has also the consequence that Steutel's necessary condition for infinite divisibility [\textit{F. W. Steutel}, Stochastic Processes Appl. 1, 125--143 (1973; Zbl 0259.60011)] is not sufficient.

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Cited in

(5)

• A note on the gaps in the support of discretely infinitely divisible laws
• The Conway-Maxwell-Poisson distribution: distributional theory and approximation
• On the Conway-Maxwell-Poisson point process
• When is the discrete Weibull distribution infinitely divisible?
• When is an exponentiated Pareto distribution infinitely divisible?

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