The diagnonal multivariate natural exponential families and their classification

Shaul K. Bar-Lev, Daoud Bshouty, Peter Enis, Gérard Letac, I. Li Lu, Donald Richards

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Abstract

A natural exponential family (NEF)F in ℝn, n>1, is said to be diagonal if there exist n functions, a1,..., an, on some intervals of ℝ, such that the covariance matrix VF(m) of F has diagonal (a1(m1),..., an(mn)), for all m=(m1,..., mn) in the mean domain of F. The family F is also said to be irreducible if it is not the product of two independent NEFs in ℝk and ℝn-k, for some k=1,..., n-1. This paper shows that there are only six types of irreducible diagonal NEFs in ℝn, that we call normal, Poisson, multinomial, negative multinomial, gamma, and hybrid. These types, with the exception of the latter two, correspond to distributions well established in the literature. This study is motivated by the following question: If F is an NEF in ℝn, under what conditions is its projection p(F) in ℝk, under p(x1,..., xn):=(x1,..., xk), k=1,..., n-1, still an NEF in ℝk? The answer turns out to be rather predictable. It is the case if, and only if, the principal k×k submatrix of VF(m1,..., mn) does not depend on (mk+1,..., mn).

Original languageEnglish (US)
Pages (from-to)883-929
Number of pages47
JournalJournal of Theoretical Probability
Volume7
Issue number4
DOIs
StatePublished - Oct 1 1994

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Mathematics(all)
  • Statistics, Probability and Uncertainty

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