Reduction functions for the variance function of one-parameter natural exponential family

DOI10.1016/J.SPL.2018.02.010zbMATH Open1406.60027arXiv1510.03966OpenAlexW2792502286WikidataQ115566845 ScholiaQ115566845MaRDI QIDQ1640973FDOQ1640973

Authors: Xiongzhi Chen 

Publication date: 14 June 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: One-parameter natural exponential family (NEF) plays fundamental roles in probability and statistics. This article contains two independent results: (a) A conjecture of Bar-Lev, Bshouty and Enis states that a polynomial with a simple root at $0$ and a complex root with positive imaginary part is the variance function of some NEF with mean domain $left(0,inftyight)$ if and only if the real part of the complex root is not positive. This conjecture is resolved. The positive answer to this conjecture enlarges existing family of polynomials that are able to generate NEFs, and it helps prevent practitioners from choosing incompatible functions as variance functions for statistical modeling using NEFs. (b) if a random variable $xi$ has parametric distributions that form a infinitely divisible NEF whose induced measure is absolutely continuous with respect to its basis measure, then there exists a deterministic function $h$, called "reduction function", such that $mathbbEleft(hleft(xiight)ight)=mathbbVleft(xiight)$, i.e., $hleft(xiight)$ is an unbiased estimator of the variance of $xi$. The reduction function has applications to estimating latent, low-dimensional structures and to dimension reduction in the first and/or second moments in high-dimensional data.

Full work available at URL: https://arxiv.org/abs/1510.03966

Recommendations

• scientific article; zbMATH DE number 3949477
• scientific article; zbMATH DE number 38725
• Sur une propriété des familles exponentielles naturelles de variance quadratique
• La convergence des fonctions variance des familles exponentielles naturelles
• Rational variance functions

zbMATH Keywords

natural exponential familyvariance functioninfinitely divisibilityreduction function

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characterization and structure theory of statistical distributions (62E10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Natural exponential families with quadratic variance functions
• On Strict Arcsine Distribution
• Title not available (Why is that?)
• Lectures on natural exponential families and their variance functions
• The Lindsay transform of natural exponential families
• Natural real exponential families with cubic variance functions
• Reproducibility and natural exponential families with power variance functions
• Title not available (Why is that?)

This page was built for publication: Reduction functions for the variance function of one-parameter natural exponential family

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1640973)