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Friday, August 05, 2016

Properties of the exponential family distributions

Given exponential family P={pθ(x)|θΘ}, where
pθ(x)=h(x)exp(qT(θ)T(x)b(θ))Isupp(x),Z=exp(b(θ))
Regular family (gives you completeness)
Conditions for regularity,

  1. support pθ(x) independent of θ
  2. finite partition function Z(θ)<,θ
  3. Interior of parameter space is solid, ˚Θ
  4. Interior of natural parameter space is solid ˚Q
  5. Statistic vector function and the constant function are linearly independent.  i.e. [1,T1(x),,TK(x)] linear indep. (gives you minimal statistic)
  6. twice differentiable pθ(x) 

Curved family (only know statistic is minimal)
An exponential family where the dimension of the vector parameter θ=(θ1,,θr) is less than the dimension of the natural statistic T(x) is called a curved family.

Identifiability of parameter vector θ.
When statistic is minimal, then it is a matter of ensuring q:ΘQ defines a 1-1 mapping from desired parameter space to natural parameter space.

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