Multivariate dispersion models
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Multivariate dispersion models. / Jorgensen, B; Lauritzen, Steffen L.
I: Journal of Multivariate Analysis, Bind 74, Nr. 2, 2000, s. 267-281.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Multivariate dispersion models
AU - Jorgensen, B
AU - Lauritzen, Steffen L.
PY - 2000
Y1 - 2000
N2 - 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.
AB - 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.
U2 - 10.1006/jmva.1999.1885
DO - 10.1006/jmva.1999.1885
M3 - Journal article
VL - 74
SP - 267
EP - 281
JO - Journal of Multivariate Analysis
JF - Journal of Multivariate Analysis
SN - 0047-259X
IS - 2
ER -
ID: 127870259