New exponential dispersion models for count data – properties and applications
share
In their fundamental paper on cubic variance functions (VFs), Letac and Mora (The Annals of Statistics,1990) presented a systematic, rigorous and comprehensive study of natural exponential families (NEFs) on the real line, their characterization through their VFs and mean value parameterization. They presented a section that for some reason has been left unnoticed. This section deals with the construction of VFs associated with NEFs of counting distributions on the set of nonnegative integers and allows to find the corresponding generating measures. As EDMs are based on NEFs, we introduce in this paper three new classes of EDMs based on their results. For these classes, which are associated with simple VFs, we derive their mean value parameterization and their associated generating measures. We also prove that they have some desirable properties. Each of these classes is shown to be overdispersed and zero inflated in ascending order, making them as competitive statistical models for those in use in both, statistical and actuarial modeling. A numerical example of real data compares the performance of one class and demonstrates its superiority.
READ FULL TEXT