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A reverse martingale property that characterizes the natural exponential family with quadratic variance function

✍ Scribed by Fernando López-Blázquez; Begoña Salamanca-Miño

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
90 KB
Volume
49
Category
Article
ISSN
0167-7152

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✦ Synopsis

We give a characterization of the natural exponential family with quadratic variance function in terms of a discrete-time reverse martingale-like property. The proof of this result is based on the properties of the set of UMVU estimable functions.

📜 SIMILAR VOLUMES

A property of natural exponential famili
A property of natural exponential families in Rn with simple quadratic variance functions
✍ V. Seshadri 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 386 KB

A generalization to N" of a property of natural exponential families on ~ with simple quadratic variances is obtained. This property yields the original density in terms of the Laplace transform of the conjugate prior for the natural parameter.