Chernoff's distribution: Difference between revisions
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'''Exponential dispersion models''' are [[statistical model]]s in which the probability distribution is of a special form.<ref>Marriott, P. (2005) "Local Mixtures and Exponential Dispersion | |||
Models" [http://www.stat.duke.edu/~paul/Paperspdf/dispersion.pdf pdf]</ref><ref name=J1987>Jørgensen, B. (1987). Exponential dispersion models (with discussion). [[Journal of the Royal Statistical Society]], Series B, 49 (2), 127–162.</ref> This class of models represents a generalisation of the [[exponential family]] of models which themselves play an important role in [[statistical theory]] because they have a special structure which enables deductions to be made about appropriate [[statistical inference]]. | |||
==Definition== | |||
Exponential dispersion models are a generalisation of the [[natural exponential family]]: these have a [[probability density function]] which, for a multivariate model, can be written as | |||
:<math> f_X(\mathbf{x}|\boldsymbol{\theta}) = h(\mathbf{x}) \exp(\boldsymbol\theta^\top \mathbf{x} - A(\boldsymbol\theta)) \,\! ,</math> | |||
where the parameter <math>\boldsymbol\theta</math> has the same dimension as the observation variable <math>\mathbf{x}</math>. The generalisation includes an extra scalar "index parameter", <math>\lambda</math>, and has density function of the form<ref name=J1987/> | |||
:<math> f_X(\mathbf{x}|\lambda,\boldsymbol{\theta}) = h(\lambda,\mathbf{x}) \exp (\lambda [\boldsymbol\theta^\top \mathbf{x} - A(\boldsymbol\theta)] ) \,\! .</math> | |||
The terminology "dispersion parameter" is used for <math>\sigma^2=\lambda^{-1}</math>, while <math>\boldsymbol\theta</math> is the "natural parameter" (also known as "canonical parameter"). | |||
==References== | |||
{{reflist}} | |||
[[Category:Statistical models]] | |||
[[Category:Statistical theory]] | |||
Revision as of 23:30, 10 December 2013
Exponential dispersion models are statistical models in which the probability distribution is of a special form.[1][2] This class of models represents a generalisation of the exponential family of models which themselves play an important role in statistical theory because they have a special structure which enables deductions to be made about appropriate statistical inference.
Definition
Exponential dispersion models are a generalisation of the natural exponential family: these have a probability density function which, for a multivariate model, can be written as
where the parameter has the same dimension as the observation variable . The generalisation includes an extra scalar "index parameter", , and has density function of the form[2]
The terminology "dispersion parameter" is used for , while is the "natural parameter" (also known as "canonical parameter").
References
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- ↑ Marriott, P. (2005) "Local Mixtures and Exponential Dispersion Models" pdf
- ↑ 2.0 2.1 Jørgensen, B. (1987). Exponential dispersion models (with discussion). Journal of the Royal Statistical Society, Series B, 49 (2), 127–162.