Erschienen in:Brazilian Journal of Probability and Statistics
Sprache:
Englisch
ISSN:
0103-0752;
2317-6199
Entstehung:
Anmerkungen:
Beschreibung:
<p>We derive the Lévy—Khinchine representation of the members of the Tweedie class of exponential dispersion models, and show that the corresponding canonical measures are proportional to gamma densities. This extends and unifies existing results for the gamma, extreme stable and certain compound Poisson distributions, and includes the Poisson and normal as limiting cases.</p>