IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v83y2013i7p1692-1698.html
   My bibliography  Save this article

On the Monge–Ampère equation for characterizing gamma-Gaussian model

Author

Listed:
  • Kokonendji, Célestin C.
  • Masmoudi, Afif

Abstract

We study the k-dimensional gamma-Gaussian model (k>1) composed by distributions of random vector X=(X1,X2,…,Xk)⊤, where X1 is a univariate gamma distributed, and (X2,…,Xk) given X1 are k−1 real independent Gaussian variables with variance X1. We first solve a particular Monge–Ampère equation which characterizes this gamma-Gaussian model through the determinant of its covariance matrix, named the generalized variance function. Then, we show that its modified Lévy measure is of the same type for which we prove a conjecture on generalized variance estimators of the gamma-Gaussian model. Finally, we provide reasonable extensions of the model and corresponding problems.

Suggested Citation

  • Kokonendji, Célestin C. & Masmoudi, Afif, 2013. "On the Monge–Ampère equation for characterizing gamma-Gaussian model," Statistics & Probability Letters, Elsevier, vol. 83(7), pages 1692-1698.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:7:p:1692-1698
    DOI: 10.1016/j.spl.2013.03.023
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715213001065
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2013.03.023?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Ghribi, Abdelaziz & Masmoudi, Afif, 2010. "Characterization of multinomial exponential families by generalized variance," Statistics & Probability Letters, Elsevier, vol. 80(11-12), pages 939-944, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.

      Corrections

      All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:83:y:2013:i:7:p:1692-1698. See general information about how to correct material in RePEc.

      If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

      If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

      If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

      For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

      Please note that corrections may take a couple of weeks to filter through the various RePEc services.

      IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.