A Complete Characterization of Multivariate Normal Stable Tweedie Models through a Monge–Ampère Property

• 作者: Célestin C. KOKONENDJI Cyrille C. MOYPEMNA SEMBONA Khoirin NISA
• 来源期刊: 数学学报（英文版）
• 年，卷（期）: 2020,（11）
• 页码范围: 1232-1244
• 页数: 13页
• 语种: 英文

摘要

Extending normal gamma and normal inverse Gaussian models, multivariate normal stable Tweedie (NST) models are composed by a fixed univariate stable Tweedie variable having a positive value domain, and the remaining random variables given the fixed one are real independent Gaussian variables with the same variance equal to the fixed component. Within the framework of multivariate exponential families, the NST models are recently classified by their covariance matrices V(m) depend-ing on the mean vector m. In this paper, we prove the characterization of all the NST models through their determinants of V(m), also called generalized variance functions, which are power of only one component of m. This result is established under the NST assumptions of Monge–Ampère property and steepness. It completes the two special cases of NST, namely normal Poisson and normal gamma models. As a matter of fact, it provides explicit solutions of particular Monge–Ampère equations in differential geometry.