A reverse martingale property that chara
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Fernando López-Blázquez; Begoña Salamanca-Miño
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Article
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2000
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Elsevier Science
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English
⚖ 90 KB
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.