On normal stable Tweedie models and power-generalized variance functions of only one component
From MaRDI portal
Publication:2513942
DOI10.1007/s11749-014-0363-9zbMath1308.62111MaRDI QIDQ2513942
Célestin C. Kokonendji, Yacouba Boubacar Maïnassara
Publication date: 29 January 2015
Published in: Test (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11749-014-0363-9
covariance matrix; determinant; Monge-Ampère equation; Lévy measure; multivariate exponential dispersion model; generalized variance estimator
60E07: Infinitely divisible distributions; stable distributions
62H99: Multivariate analysis
62F10: Point estimation
62H05: Characterization and structure theory for multivariate probability distributions; copulas
Related Items
Lévy processes time-changed by the first-exit time of the inverse Gaussian subordinator, Simulations of full multivariate Tweedie with flexible dependence structure, Characteristic property of a class of multivariate variance functions, Geometric dispersion models with real quadratic v-functions, Characterization and classification of multiple stable Tweedie models, Generalized variance functions for infinitely divisible mixture distributions, Relative variation indexes for multivariate continuous distributions on \([0,\infty)^k\) and extensions, A characterization of multivariate normal stable Tweedie models and their associated polynomials, A complete characterization of multivariate normal stable Tweedie models through a Monge-Ampère property, Unnamed Item
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the Monge-Ampère equation for characterizing gamma-Gaussian model
- Construction of multivariate dispersion models
- A characterization of Poisson-Gaussian families by generalized variance
- EM-estimation and modeling of heavy-tailed processes with the multivariate normal inverse Gaussian distribution
- Generalized variance estimators in the multivariate gamma models
- An improved estimator of the generalized variance
- On improved interval estimation for the generalized variance
- The diagonal multivariate natural exponential families and their classification
- Exponential families with variance functions in \(\sqrt {\Delta}P(\sqrt {\Delta})\): Seshadri's class
- On the determinant of the second derivative of a Laplace transform
- The \(2d+4\) simple quadratic natural exponential families on \(\mathbb{R}^ d\)
- Processes of normal inverse Gaussian type
- Reference priors for exponential families with simple quadratic variance function
- A characterization of Poisson-Gaussian families by convolution-stability
- Numerical solution of the Monge--Ampère equation by a Newton's algorithm
- Generalized variance and exponential families
- On Lévy measures for infinitely divisible natural exponential families
- Normal Variance-Mean Mixtures and z Distributions
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- Computation of the Noncentral Gamma Distribution
- Robust Hotelling's T2control charts under non-normality: the case oft-Student distribution
- Comparing UMVU and ML estimators of the generalized variance for natural exponential families
- The S-system computation of non-central gamma distribution
