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

DOI10.1137/S0040585X97985741zbMATH Open1411.60024arXiv0809.1840MaRDI QIDQ4907618FDOQ4907618

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

Publication date: 4 February 2013

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

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).

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

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zbMATH Keywords

dispersion models

Mathematics Subject Classification ID

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

Cited In (7)

• Tail approximation in models that involve long range dependence: the distribution of overflows
• Bias-corrected estimators for dispersion models with dispersion covariates
• Second-order asymptotic expressions for the covariance matrix of maximum likelihood estimators in dispersion models
• Skewness of maximum likelihood estimators in dispersion models
• Title not available (Why is that?)
• Improved inference in dispersion models
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