A property of natural exponential families in R^ n with simple quadratic variance functions
Suppose that \(F\) is a natural exponential family \(\{a(\theta) \exp (\theta x)f(x) dx\); \(\theta\in\Theta\}\) on \(\mathbb{R}\), which is absolutely continuous with quadratic variance \(V_F (m)\) defined on the mean domain \(M_F\). \textit{B. Jørgensen} et al. [Can. J. Stat. 17, No. 1, 1-8 (1989; Zbl 0676.62009)] showed that \[ V_F(m) \left(\int^\infty_{-\infty} a(\theta) \exp (\theta m)d \theta \right) f(m)=1 \quad \text{on } M_F. \] The density on \(\Theta\), proportional to \(a( \theta) \exp (\theta m)\) is the conjugate prior corresponding to \(F\). A similar result was also shown to hold in the discrete case. Furthermore, it was shown that this does not characterize the natural exponential families endowed with quadratic variances. In this note we extend this concept to natural exponential families in \(\mathbb{R}^n\) which possess a ``simple quadratic variance (a term to be made precise).
- Conjugate priors for exponential families
- scientific article; zbMATH DE number 3824228 (Why is no real title available?)
- scientific article; zbMATH DE number 563684 (Why is no real title available?)
- scientific article; zbMATH DE number 4113737 (Why is no real title available?)
- Natural exponential families with quadratic variance functions
- Sur une propriété des familles exponentielles naturelles de variance quadratique
- Exponential families with variance functions in \(\sqrt {\Delta}P(\sqrt {\Delta})\): Seshadri's class
- A reverse martingale property that characterizes the natural exponential family with quadratic variance function
- A characterization of simple quadratic natural exponential families with a reverse martingale property
- Some characterizations of the natural exponential families in \(\mathbb{R}^2\) and related Laplace transforms
- Conjugate Parameterizations for Natural Exponential Families
- Sur une propriété des familles exponentielles naturelles de variance quadratique
- scientific article; zbMATH DE number 38725 (Why is no real title available?)
- scientific article; zbMATH DE number 563684 (Why is no real title available?)
- Parameterizations for Natural Exponential Families with Quadratic Variance Functions
- scientific article; zbMATH DE number 4113737 (Why is no real title available?)
- Posterior variance for quadratic natural exponential families
- On natural parameter space of exponential family
- A characterization of Poisson-Gaussian families by generalized variance
- Inequalities for predictive ratios and posterior variances in natural exponential families
This page was built for publication: A property of natural exponential families in \(\mathbb{R}^ n\) with simple quadratic variance functions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1372418)
