An introduction to Bent Jørgensen's ideas

DOI10.1214/19-BJPS458zbMATH Open1476.62134arXiv1909.09155OpenAlexW3119733367WikidataQ114060543 ScholiaQ114060543MaRDI QIDQ2233633FDOQ2233633

Authors: Rodrigo S. Labouriau, Denise A. Botter, Gauss M. Cordeiro 

Publication date: 11 October 2021

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Abstract: We briefly expose some key aspects of the theory and use of dispersion models, for which Bent Jorgensen played a crucial role as a driving force and an inspiration source. Starting with the general notion of dispersion models, built using minimalistic mathematical assumptions, we specialize in two classes of families of distributions with different statistical flavors: exponential dispersion and proper dispersion models. The construction of dispersion models involves the solution of integral equations that are, in general, untractable. These difficulties disappear when a more mathematical structure is assumed: it reduces to the calculation of a moment generating function or of a Riemann-Stieltjes integral for the exponential dispersion and the proper dispersion models, respectively. A new technique for constructing dispersion models based on characteristic functions is introduced turning the integral equations above into a tractable convolution equation and yielding examples of dispersion models that are neither proper dispersion nor exponential dispersion models. A corollary is that the cardinality of regular and non-regular dispersion models are both large. Some selected applications are discussed including exponential families non-linear models (for which generalized linear models are particular cases) and several models for clustered and dependent data based on a latent Levy process.

Full work available at URL: https://arxiv.org/abs/1909.09155

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zbMATH Keywords

exponential familysaddlepoint approximationsproper dispersion modelsdispersion modelsexponential dispersion modelsnon-linear models

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Generalized linear models (logistic models) (62J12)

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Cited In (2)

• Exponential dispersion models
• Introduction to the review of Joseph Bertrand

Uses Software

• R

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