The limiting behavior of some infinitely divisible exponential dispersion models

DOI10.1016/J.SPL.2010.08.013zbMath1456.62026arXiv1005.3284OpenAlexW2027689405MaRDI QIDQ613176

Shaul K. Bar-Lev, Gérard Letac

Publication date: 20 December 2010

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

Full work available at URL: https://arxiv.org/abs/1005.3284

zbMATH Keywords

infinitely divisible distributionsnatural exponential familylimiting distributionsexponential dispersion model

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic distribution theory in statistics (62E20)

Related Items (3)

Asymptotic behavior of some cone-valued infinitely divisible stochastic process through projection ⋮ On the small-time behavior of subordinators ⋮ A Numerical Study of Small Parameter Behavior of Some Families of Distributions

Cites Work

• Dispersion models for extremes
• Natural real exponential families with cubic variance functions
• Existence of moments and an asymptotic result based on a mixture of exponential distributions
• On Lévy measures for infinitely divisible natural exponential families
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