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Article Dans Une Revue Stat Année : 2023

Asymptotic tail properties of Poisson mixture distributions

Résumé

Count data are omnipresent in many applied fields, often with overdispersion. With mixtures of Poisson distributions representing an elegant and appealing modelling strategy, we focus here on how the tail behaviour of the mixing distribution is related to the tail of the resulting Poisson mixture. We define five sets of mixing distributions and we identify for each case whenever the Poisson mixture is in, close to or far from a domain of attraction of maxima. We also characterize how the Poisson mixture behaves similarly to a standard Poisson distribution when the mixing distribution has a finite support. Finally, we study, both analytically and numerically, how goodness-of-fit can be assessed with the inspection of tail behaviour.
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Dates et versions

hal-04107633 , version 1 (26-05-2023)
hal-04107633 , version 2 (27-11-2023)

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Samuel Valiquette, Gwladys Toulemonde, Jean Peyhardi, Éric Marchand, Frédéric Mortier. Asymptotic tail properties of Poisson mixture distributions. Stat, 2023, 12 (1), pp.e622. ⟨10.1002/sta4.622⟩. ⟨hal-04107633v1⟩
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