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Exponential Dispersion Model と巾変換

open access: yesExponential Dispersion Model と巾変換
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Exponential Dispersion Models

open access: yesJournal of the Royal Statistical Society Series B: Statistical Methodology, 1987
SUMMARY We study general properties of the class of exponential dispersion models, which is the multivariate generalization of the error distribution of Nelder and Wedderburn’s (1972) generalized linear models. Since any given moment generating function generates an exponential dispersion model, there exists a multitude of exponential ...
Bent Jørgensen
exaly   +3 more sources
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On Infinitely Divisible Exponential Dispersion Model Related to Poisson-Exponential Distribution

Communications in Statistics - Theory and Methods, 2007
We construct a univariate exponential dispersion model comprised of discrete infinitely divisible distributions. This model emerges in the theory of branching processes. We obtain a representation for the Levy measure of relevant distributions and characterize their laws as Poisson mixtures and/or compound Poisson distributions.
Vladimir Vinogradov
exaly   +2 more sources

Exponential dispersion models and credibility

Scandinavian Actuarial Journal, 1998
Abstract The Exponential Dispersion Family is a rich family of distributions, comprised of several distributions, some of which are heavy-tailed and as such could be of significant relevance to actuarial science. The family draws its richness from a dispersion parameter σ 2 = 1/λ which is equal to 1 in the case of the Natural Exponential Family.
Udi Makov
exaly   +2 more sources

Exponential Dispersion Models and Extensions: A Review

International Statistical Review / Revue Internationale de Statistique, 1992
Summary: The paper reviews recent developments in the theory of exponential dispersion models and their various generalizations.Topics covered include dispersion models, exponential and proper dispersion models, stochastic processes, Tweedie's class of power variance functions [see \textit{M. C. K. Tweedie}, Proc. Camb. Philos. Soc.
Bent Jørgensen, Bent Jorgensen
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Testing for Varying Dispersion in Exponential Family Nonlinear Models

Annals of the Institute of Statistical Mathematics, 1998
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bo-Cheng Wei   +2 more
exaly   +4 more sources

On Parameter Estimation for Exponential Dispersion Arma Models

Journal of Time Series Analysis, 2005
Abstract.  A class of autoregressive moving‐average (ARMA) models proposed by Jørgensen and Song [Journal of Applied Probability (1998), vol. 35, pp. 78–92] with exponential dispersion model margins are useful to deal with non‐normal stationary time series with high‐order autocorrelation.
Song, Peter X.-K., Feng, Dingan
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Modeling exponential signals in a dispersive multipath environment

[Proceedings] ICASSP-92: 1992 IEEE International Conference on Acoustics, Speech, and Signal Processing, 1992
A technique for estimating parameters in exponential signals observed in a multipath environment, where multiple dispersive channels couple transmitter and receiver is presented. This multipath model simulates unique frequency dependent coefficients of attenuation and reflection along the different propagation paths, which can result in received ...
Phillip L. Ainsleigh, James D. George
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A doubly restricted exponential dispersion model

Communications in Statistics - Theory and Methods, 2018
AbstractIn this paper, we propose and develop a doubly restricted exponential dispersion model, i.e. a varying dispersion generalized linear model with two sets of restrictions, a set of linear restrictions for the mean response, and at the same time, for another set of linear restrictions for the dispersion of the distribution.
Luis Fernando Grajales   +3 more
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