Asymptotic tail properties of the distributions in the class of dispersion models

DOI10.1137/S0040585X97985741MaRDI QIDQ4907618zbMATH OpenFDO

Authors Alexandre B. Simas, Saralees Nadarajah, Gauss M. Cordeiro

Publication date 4 February 2013

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0809.1840

zbMATH Keywords

dispersion models

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Central limit and other weak theorems (60F05)

Abstract: The class of dispersion models introduced by J{o}rgensen (1997b) covers many known distributions such as the normal, Student t, gamma, inverse Gaussian, hyperbola, von-Mises, among others. We study the small dispersion asymptotic (J{o}rgensen, 1987b) behavior of the probability density functions of dispersion models which satisfy the uniformly convergent saddlepoint approximation. Our results extend those obtained by Finner et al. (2008).

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(7)

• Tail approximation in models that involve long range dependence: the distribution of overflows
• Improved inference in dispersion models
• Second-order asymptotic expressions for the covariance matrix of maximum likelihood estimators in dispersion models
• Skewness of maximum likelihood estimators in dispersion models
• scientific article; zbMATH DE number 5518684 (Why is no real title available?)
• Bias-corrected estimators for dispersion models with dispersion covariates
• scientific article; zbMATH DE number 6906939 (Why is no real title available?)

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