Combination of Reproductive Models
Barndorff-Nielsen, O. E. ; Blaesild, P.
Ann. Statist., Tome 16 (1988) no. 1, p. 323-341 / Harvested from Project Euclid
Suppose $s$ is a random variate that follows a statistical model with parameter $\omega$, and let $s_1, s_2, \cdots, s_n, \cdots$ be independent and identically distributed observations of $s$. The model is reproductive in $s$ and $\omega$ if for any $n$ the mean $\bar{s} = (s_1 + \cdots + s_n)/n$ follows the same model as $s$ but with parameter $n\omega$ instead of $\omega$. Suitable combinations of reproductive models yield reproductive models for higher-dimensional variates. This combination technique is discussed and illustrated by examples. It is possible, in particular, to construct reproductive combinations of gamma, inverse-Gaussian and Gaussian distributions, determined by a regression structure, which may conveniently be described in graph-theoretic terms. The graph-theoretical interpretation makes it feasible to draw conclusions about conditional independencies in the models concerned, by means of a very general result for Markovian-type probability laws on graphs due to Kiiveri, Speed and Carlin (1984). Most of the models discussed are exponential, of a form, which in conjunction with the reproductivity, implies various useful distributional properties, derivable from the general theory of reproductive exponential models.
Publié le : 1988-03-14
Classification:  Chi-squared distribution,  conditional independence,  exponential models,  gamma distribution,  Gaussian distribution,  inverse-Gaussian distribution,  Markovian probability laws,  maximum-likelihood estiamtion,  oriented graphs,  stable distributions,  62E10,  62E15,  62F99,  62J99
@article{1176350708,
     author = {Barndorff-Nielsen, O. E. and Blaesild, P.},
     title = {Combination of Reproductive Models},
     journal = {Ann. Statist.},
     volume = {16},
     number = {1},
     year = {1988},
     pages = { 323-341},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176350708}
}
Barndorff-Nielsen, O. E.; Blaesild, P. Combination of Reproductive Models. Ann. Statist., Tome 16 (1988) no. 1, pp.  323-341. http://gdmltest.u-ga.fr/item/1176350708/