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Modeling overdispersion with the normalized tempered stable distribution
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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. doi:10.1016/j.csda.2011.01.016 ISSN 0167-9473.
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Official URL: http://dx.doi.org/10.1016/j.csda.2011.01.016
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 | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > 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 | ||||
Official Date: | 1 July 2011 | ||||
Dates: |
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Volume: | Vol.55 | ||||
Number: | No.7 | ||||
Page Range: | pp. 2288-2301 | ||||
DOI: | 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 | ||||
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