Author: Wagner H. Bonat (LEG/DEST/UFPR)

Title: Multivariate Proper dispersion models

Abstract: In this talk, I am going to present some recently development on the computational implementation of multivariate proper dispersion models in R. A discussion about the accuracy of the saddlepoint approximation is carry out by comparing its results with the ones obtained by numerical integration. Multivariate extensions of univariate dispersion models such as the compound-Poisson, gamma, inverse Gaussian, simplex and Von mises are discuss in details.