Modelling heavy-tailed count data using a generalised Poisson-inverse Gaussian family

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Modelling heavy-tailed count data using a generalised Poisson-inverse Gaussian family

TitleModelling heavy-tailed count data using a generalised Poisson-inverse Gaussian family
Publication TypeJournal Article
Year of Publication2009
AuthorsZhu, R, Joe, H
JournalStatistics & Probability Letters
Volume79
Pagination1695-1703
Date PublishedAUG 1
Type of ArticleArticle
ISSN0167-7152
AbstractWe generalise the Poisson-inverse Gaussian distribution to a three-parameter family, which includes the Poisson and discrete stable distributions as boundary cases. It is flexible in modelling Count data sets with different tail heaviness. Although the family only has a closed-form probability generating function, a recursive method is developed for statistical inferences based on the likelihood. As an example, this new family is applied to data sets of citation counts of published articles. (C) 2009 Elsevier B.V. All rights reserved.
DOI10.1016/j.spl.2009.04.011