Kolossiatis, Michalis, Griffin, Jim E. and Steel, Mark F. J.. (2011) Modeling overdispersion with the normalized tempered stable distribution. Computational Statistics & Data Analysis, Vol.55 (No.7). pp. 2288-2301. ISSN 0167-9473

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Abstract

A multivariate distribution which generalizes the Dirichlet distribution is introduced and its use for modeling overdispersion in count data is discussed. 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:	Journal Article
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Science > Statistics
Library of Congress Subject Headings (LCSH):	Multivariate analysis, Distribution (Probability theory)
Journal or Publication Title:	Computational Statistics & Data Analysis
Publisher:	Elsevier Science Ltd
ISSN:	0167-9473
Date:	1 July 2011
Volume:	Vol.55
Number:	No.7
Page Range:	pp. 2288-2301
Identification Number:	10.1016/j.csda.2011.01.016
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
Version or Related Resource:	Kolossiatis, M., Griffin, J.E. and Steel, M.F.J. (2011). Modelling overdispersion with the normalized tempered stable distribution. [Coventry] : University of Warwick. Centre for Research in Statistical Methodology. (Working papers, no.10-01). http://wrap.warwick.ac.uk/id/eprint/35065
Related URLs:	Related item in WRAP
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URI:	http://wrap.warwick.ac.uk/id/eprint/41084

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