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Multivariate Dispersion Models

Author

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  • Jørgensen, Bent
  • Lauritzen, Steffen L.

Abstract

We introduce a class of multivariate dispersion models suitable as error distributions for generalized linear models with multivariate non-normal responses. The models preserve some of the main properties of the multivariate normal distribution, and include the elliptically contoured distributions and certain other known distributions as special cases. We give explicit methods for constructing multivariate proper dispersion models. This is exemplified by constructing multivariate gamma, Laplace, hyperbola, and von Mises distributions.

Suggested Citation

  • Jørgensen, Bent & Lauritzen, Steffen L., 2000. "Multivariate Dispersion Models," Journal of Multivariate Analysis, Elsevier, vol. 74(2), pages 267-281, August.
    • Handle: RePEc:eee:jmvana:v:74:y:2000:i:2:p:267-281
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    Cited by:

    1. Jupp, P.E., 2010. "A van Trees inequality for estimators on manifolds," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1814-1825, September.
    2. Furman, Edward & Landsman, Zinoviy, 2010. "Multivariate Tweedie distributions and some related capital-at-risk analyses," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 351-361, April.

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