A class of infinitely divisible variance functions with an application to the polynomial case

DOI10.1016/0167-7152(90)90017-2MaRDI QIDQ2641020zbMATH OpenOpenAlexFDO

Authors Shaul K. Bar-Lev, Daoud Bshouty

Publication date 1990

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

Full work available at URL https://doi.org/10.1016/0167-7152(90)90017-2

zbMATH Keywords

explicit sufficient conditionsinfinitely divisible natural exponential familyvariance function

Mathematics Subject Classification ID

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

Review text

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.

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• Natural exponential families with quadratic variance functions
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• Rational variance functions

Cited in

(17)

• Haight's distributions as a natural exponential family
• Reproducibility and natural exponential families with power variance functions
• A differential version of the Efron-Stein inequality: Bounding the variance of a function of an infinitely divisible variable
• On polynomial variance functions
• Tauber theory for infinitely divisible variance functions
• Polynomial covariance functions on intervals
• On the mean value parametrization of natural exponential families -- a revisited review
• Extension of the variance function of a steep exponential family
• Generalized variance functions for infinitely divisible mixture distributions
• On a characterization of variance functions of natural exponential families
• Regression of polynomial statistics on the sample mean and natural exponential families
• Methods of constructing characterizations by constancy of regression on the sample mean and related problems for NEF's
• On Lévy measures for infinitely divisible natural exponential families
• On the infinite divisibility of variance mixtures of Gaussian distributions
• Resolution of a conjecture on variance functions for one-parameter natural exponential families
• scientific article; zbMATH DE number 3846562 (Why is no real title available?)
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