Modelling heavy-tailed count data using a generalised Poisson-inverse Gaussian family

摘要

We generalise the Poisson-inverse Gaussian distribution to a three-parameter family, which includes the Poisson and discrete stable distributions as boundary cases. It is flexible in modelling Count data sets with different tail heaviness. Although the family only has a closed-form probability generating function, a recursive method is developed for statistical inferences based on the likelihood. As an example, this new family is applied to data sets of citation counts of published articles.