Simulations of full multivariate Tweedie with flexible dependence structure

DOI10.1007/s00180-015-0617-3zbMath1348.65019OpenAlexW1774305281MaRDI QIDQ333383

Célestin C. Kokonendji, Bent Jørgensen, Johann Cuenin

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)

Related Items (4)

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 ⋮ Fisher dispersion index for multivariate count distributions: a review and a new proposal

Uses Software

• R
• Tweedie
• SuppDists

Cites Work

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• Construction of multivariate dispersion models
• Multivariate Tweedie distributions and some related capital-at-risk analyses
• Multivariate stable exponential families and Tweedie scale
• Discrete dispersion models and their Tweedie asymptotics
• On normal stable Tweedie models and power-generalized variance functions of only one component
• INVERSE GAUSSIAN CONTROL CHARTS
• Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
• Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling
• Estimation for the bivariate Poisson distribution

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