The limiting behavior of some infinitely divisible exponential dispersion models

Abstract: Consider an exponential dispersion model (EDM) generated by a probability

m u

on

[0, i n f t y)

which is infinitely divisible with an unbounded L'{e}vy measure

u

. The Jorgensen set (i.e., the dispersion parameter space) is then

m a t h b b R^{+}

, in which case the EDM is characterized by two parameters:

h e t a_{0}

the natural parameter of the associated natural exponential family and the Jorgensen (or dispersion) parameter

t

. Denote by

E D M (h e t a_{0}, t)

the corresponding distribution and let

Y_{t}

is a r.v. with distribution

E D M (h e t a_{0}, t)

. Then if

u ((x, i n f t y)) s i m - e l l l o g x

around zero we prove that the limiting law

F_{0}

of

Y_{t}^{- t}

as

t i g h t a r r o w 0

is of a Pareto type (not depending on

h e t a_{0}

) with the form

F_{0} (u) = 0

for

u < 1

and

1 - u^{- e l l}

for

u g e q 1

. Such a result enables an approximation of the distribution of

Y_{t}

for relatively small values of the dispersion parameter of the corresponding EDM. Illustrative examples are provided.

Cites Work

Cited In (3)

This page was built for publication: The limiting behavior of some infinitely divisible exponential dispersion models