Generalized variance functions for infinitely divisible mixture distributions
From MaRDI portal
Publication:1790547
DOI10.1007/s00009-018-1214-9zbMath1401.62081OpenAlexW2810157603WikidataQ129650147 ScholiaQ129650147MaRDI QIDQ1790547
Célestin C. Kokonendji, Farouk Mselmi, Mahdi Louati, Afif Masmoudi
Publication date: 2 October 2018
Published in: Mediterranean Journal of Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00009-018-1214-9
Infinitely divisible distributions; stable distributions (60E07) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Point estimation (62F10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Related Items
The normal tempered stable regression model ⋮ A complete characterization of multivariate normal stable Tweedie models through a Monge-Ampère property
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Multivariate normal \(\alpha\)-stable exponential families
- On the Monge-Ampère equation for characterizing gamma-Gaussian model
- Time-changed Poisson processes
- Natural real exponential families with cubic variance functions
- A characterization of Poisson-Gaussian families by generalized variance
- Multivariate stable exponential families and Tweedie scale
- A framework for modelling overdispersed count data, including the Poisson-shifted generalized inverse Gaussian distribution
- Characterization of multinomial exponential families by generalized variance
- Generalized variance estimators in the multivariate gamma models
- Adapting for heteroscedasticity in linear models
- Estimation of heteroscedasticity in regression analysis
- Natural exponential families with quadratic variance functions
- On the determinant of the second derivative of a Laplace transform
- The \(2d+4\) simple quadratic natural exponential families on \(\mathbb{R}^ d\)
- Exponential families of stochastic processes
- On contraction properties of Markov kernels
- Discrete dispersion models and their Tweedie asymptotics
- Generalized variance and exponential families
- On a semiparametric variance function model and a test for heteroscedasticity
- Mixture and reciprocity of exponential models
- Mixture of the Riesz distribution with respect to the generalized multivariate gamma distribution
- On normal stable Tweedie models and power-generalized variance functions of only one component
- Characterization of multivariate stable processes
- Integer-valued Lévy processes and low latency financial econometrics
- Probability and Stochastics
- Variance Function Estimation
- Residual variance and residual pattern in nonlinear regression
- Weak convergence of a sequence of Markov chains
- Estimating Regression Models with Multiplicative Heteroscedasticity
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- A mixed poisson–inverse‐gaussian regression model
- Asymptotics of Markov Kernels and the Tail Chain
- Mixture of the Riesz Distribution with Respect to a Multivariate Poisson
- On generalized variance of product of powered components and multiple stable Tweedie models
- Large Deviations Theory in Exponential Families
- An Inverse Matrix Adjustment Arising in Discriminant Analysis
