Asymptotic tail properties of the distributions in the class of dispersion models

Details Asymptotic tail properties of the distributions in the class of dispersion models Asymptotic tail properties of the distributions in the class of dispersion models

2008-09-10

arxiv.org/abs/0809.1840v1

Mathematics

Statistics Theory

Scientific paper

The class of dispersion models introduced by J{\o}rgensen (1997b) covers many known distributions such as the normal, Student t, gamma, inverse Gaussian, hyperbola, von-Mises, among others. We study the small dispersion asymptotic (J{\o}rgensen, 1987b) behavior of the probability density functions of dispersion models which satisfy the uniformly convergent saddlepoint approximation. Our results extend those obtained by Finner et al. (2008).

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