Kolossiatis, Michalis, Griffin, Jim E. and Steel, Mark F. J. (2010) Modelling overdispersion with the normalized tempered stable distribution. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. (Working papers, Vol.2010).

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Abstract

This paper discusses a multivariate distribution which generalizes the Dirichlet distribution and demonstrates its usefulness for modelling overdispersion in count data. The distribution is constructed by normalizing a vector of independent Tempered Stable random variables. General formulae for all moments and cross-moments of the distribution are derived and they are found to have similar forms to those for the Dirichlet distribution. The univariate version of the distribution can be used as a mixing distribution for the success probability of a Binomial distribution to define an alternative to the well-studied Beta-Binomial distribution. Examples of fitting this model to simulated and real data are presented.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Science > Statistics
Library of Congress Subject Headings (LCSH):	Multivariate analysis, Distribution (Probability theory)
Series Name:	Working papers
Publisher:	University of Warwick. Centre for Research in Statistical Methodology
Place of Publication:	Coventry
Date:	2010
Volume:	Vol.2010
Number:	No.1
Number of Pages:	25
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
Version or Related Resource:	Kolossiatis, M., et al. (2011). Modeling overdispersion with the normalized tempered stable distribution. Computational Statistics & Data Analysis, 55(7), pp. 2288-2301. http://wrap.warwick.ac.uk/id/eprint/41084
Related URLs:	Related item in WRAP
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URI:	http://wrap.warwick.ac.uk/id/eprint/35065

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