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An introduction to Bent Jørgensen's ideas

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  • Gauss M. Cordeiro, Federal University of Pernambuco, Brazil
  • Rodrigo Labouriau
  • Denise A. Botter, University of São Paulo (USP), Brazil
We briefly expose some key aspects of the theory and use of dispersion models, for which Bent Jørgensen played a crucial role as a driving force and an inspiration source. Starting with the general notion of dispersion models, built using minimalistic mathematical assumptions, we specialize in two classes of families of distributions with different statistical flavors: exponential dispersion and proper dispersion models. The construction of dispersion models involves the solution of integral equations that are, in general, untractable. These difficulties disappear when more mathematical structure is assumed: it reduces to the calculation of a moment generating function or of a Riemann-Stieltjes integral for the exponential dispersion and the proper dispersion models, respectively. A new technique for constructing dispersion models based on characteristic functions is introduced yielding examples of new dispersion models.

Some selected applications are discussed including exponential families non-linear models (for which generalized linear models are particular cases) and several models for clustered and dependent data based on a latent Lèvy process.
Original languageEnglish
PublisherarXiv:1909.09155
Pages1-26
Publication statusPublished - Sep 2019

    Research areas

  • dispersion models, exponential dispersion models, exponential family, proper dispersion models, saddlepoint approximations, exponential family non-linear models, generalised linear models

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