Asymptotic tail properties of the distributions in the class of dispersion models
Abstract
The class of dispersion models introduced by Jrgensen (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 (Jrgensen, 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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