Modelling overdispersion with the normalized tempered stable distribution
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).
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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|
|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|Status:||Not Peer Reviewed|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|
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