Simulations of full multivariate Tweedie with flexible dependence structure

DOI10.1007/S00180-015-0617-3MaRDI QIDQ333383zbMATH OpenOpenAlexFDO

Authors Johann Cuenin, Bent Jørgensen, Célestin C. Kokonendji

Publication date 28 October 2016

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-015-0617-3

zbMATH Keywords

correlationcumulant generating function\(\alpha\)-stable distributionmultivariate exponential dispersion model

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Computational methods for problems pertaining to statistics (62-08) Multivariate analysis (62H99)

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Cites work

• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 1253515 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Construction of multivariate dispersion models
• Discrete dispersion models and their Tweedie asymptotics
• Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
• Estimation for the bivariate Poisson distribution
• Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling
• INVERSE GAUSSIAN CONTROL CHARTS
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• Multivariate stable exponential families and Tweedie scale
• On normal stable Tweedie models and power-generalized variance functions of only one component
• Some discrete exponencial dispersion models: Poisson-Tweedie and Hinde-Demétrio classes

Cited in

(7)

• Fisher dispersion index for multivariate count distributions: a review and a new proposal
• Construction of multivariate dispersion models
• Multivariate Tweedie distributions and some related capital-at-risk analyses
• Coherent indexes for shifted count and semicontinuous models
• Bayesian local bandwidths in a flexible semiparametric kernel estimation for multivariate count data with diagnostics
• Modelling the covariance structure in marginal multivariate count models: hunting in Bioko Island
• Relative variation indexes for multivariate continuous distributions on \([0,\infty)^k\) and extensions

Describes a project that uses

Uses Software

• SuppDists
• Tweedie
• R

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