The \(2d+4\) simple quadratic natural exponential families on \(\mathbb{R}^ d\). (English) Zbl 0867.62042

Summary: The present paper describes all the natural exponential families on \(\mathbb{R}^d\) whose variance function is of the form \(V(m)= am\otimes m+B(m)+C\), with \(m\otimes m(\theta)= \langle \theta,m\rangle m\) and \(B\) linear in \(m\). There are \(2d+4\) types of such families, which are built from particular mixtures of families of normal, Poisson, gamma, hyperbolic on \(\mathbb{R}\) and (negative-) multinomial distributions. The proof of this result relies mainly on techniques used in the elementary theory of Lie algebras.


62H05 Characterization and structure theory for multivariate probability distributions; copulas
62E10 Characterization and structure theory of statistical distributions
60E10 Characteristic functions; other transforms
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