A class of infinitely divisible variance functions with an application to the polynomial case (Q2641020): Difference between revisions

Extending work of \textit{B. Jørgensen} [Scand. J. Stat., Theory Appl. 13, 187-197 (1986; Zbl 0655.62010), and J. R. Stat. Soc., Ser. B 49, 127- 162 (1987; Zbl 0662.62078)] the authors give explicit sufficient conditions for a function V to be the variance function of an infinitely divisible natural exponential family. Their conditions read: \(V^ 2\) is absolutely monotone on an interval (0,b] and V has the form \(V(\mu)=\mu^{\alpha}t(\mu)\), with \(\alpha\geq 1\), t a real analytic function and \(\mu\) denotes the mean.