Multivariate Dispersion Models

Bent Jørgensen and Steffen L. Lauritzen

Journal of Multivariate Analysis, 2000, vol. 74, issue 2, 267-281

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.

Keywords: elliptically contoured distribution; multivariate gamma distribution; multivariate proper dispersion model; generalized yoke (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (2)

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