Evaluation of Tweedie exponential dispersion model densities by Fourier inversion

@article{Dunn2008EvaluationOT,
  title={Evaluation of Tweedie exponential dispersion model densities by Fourier inversion},
  author={Peter K. Dunn and Gordon K. Smyth},
  journal={Statistics and Computing},
  year={2008},
  volume={18},
  pages={73-86}
}
The Tweedie family of distributions is a family of exponential dispersion models with power variance functions V (μ) = μp for p 6∈ (0, 1). These distributions do not generally have density functions that can be written in closed form. However, they have simple moment generating functions, so the densities can be evaluated numerically by Fourier inversion of the characteristic functions. This paper develops numerical methods to make this inversion fast and accurate. Acceleration techniques are… CONTINUE READING
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