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On generalized variance of product of powered components and multiple stable Tweedie models

Author

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  • Johann Cuenin
  • Adrien Faivre
  • Célestin C. Kokonendji

Abstract

A flexible family of multivariate models, named multiple stable Tweedie (MST) models, is introduced and produces generalized variance functions which are products of powered components of the mean. These MST models are built from a fixed univariate stable Tweedie variable having a positive value domain, and the remaining random variables given the fixed one are also real independent Tweedie variables, with the same dispersion parameter equal to the fixed component. In this huge family of MST models, generalized variance estimators are explicitly pointed out by maximum likelihood method and, moreover, computably presented for the uniform minimum variance and unbiased approach. The second estimator is brought from modified Lévy measures of MST which lead to some solutions of particular Monge–Ampère equations.

Suggested Citation

  • Johann Cuenin & Adrien Faivre & Célestin C. Kokonendji, 2017. "On generalized variance of product of powered components and multiple stable Tweedie models," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(14), pages 7225-7237, July.
    • Handle: RePEc:taf:lstaxx:v:46:y:2017:i:14:p:7225-7237
    DOI: 10.1080/03610926.2016.1146770
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