Characterization of the cubic exponential families by orthogonality of polynomials. (Q1889788)

This paper is concerned with the class of real natural exponential families (hereafter NEFs) having cubic variance function (i.e. the variance function is a polynomial of degree less than or equal to 3). The authors introduce a notion of 2-orthogonality for a sequence of polynomials ad show that the cubicity of the variance function can be characterized by the 2-orthogonality of polynomials. The (2-)orthogonality of a family of polynomials is important since it ensures an exponential generating function for that family, thus asymptotic and efficient approximation properties. The paper contents are organized as follows: Section 2 overviews the exponential family theory and several useful facts about the sequence of polynomials associated to a NEF. Section 3 states and proves the main result of the paper, viz. the sequence of polynomials associated to a cubic NEF has the 2-orthogonality property. This sequence of polynomials is also shown to be characterized by a four-term recurrence relation, while the regular orthogonal polynomials satisfy a three-term recurrence relation. Section 4 is devoted to the characterization of the 2-orthogonal real polynomials with exponential generativity function.