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Finitely generated cumulants
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UNSPECIFIED (1999) Finitely generated cumulants. STATISTICA SINICA, 9 (4). pp. 1029-1052. ISSN 1017-0405.
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Abstract
Computations with cumulants are becoming easier through the use of computer algebra but there remains a difficulty with the finiteness of the computations because all distributions except the normal have an infinite number of non-zero cumulants. One is led therefore to replacing finiteness of computations by "finitely generated" in the sense of recurrence relationships. In fact it turns out that there is a natural definition in terms of the exponential model which is that the first and second derivative of the cumulant generating function, K, lie on a polynomial variety. This generalises recent polynomial conditions on variance functions. This is satisfied by many examples and has applications to, for example, exact expressions for variance functions and saddle-point approximations.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Journal or Publication Title: | STATISTICA SINICA | ||||
Publisher: | STATISTICA SINICA | ||||
ISSN: | 1017-0405 | ||||
Official Date: | October 1999 | ||||
Dates: |
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Volume: | 9 | ||||
Number: | 4 | ||||
Number of Pages: | 24 | ||||
Page Range: | pp. 1029-1052 | ||||
Publication Status: | Published |
Data sourced from Thomson Reuters' Web of Knowledge
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