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单词 ExponentialFamily
释义

exponential family


A probability (densityPlanetmathPlanetmath) functionMathworldPlanetmath fX(xθ) given a parameter θ is said to belong to the (one parameter) exponential family of distributionsDlmfPlanetmathPlanetmath if it can be written in one of the following two equivalentMathworldPlanetmathPlanetmathPlanetmathPlanetmathPlanetmath forms:

  1. 1.

    a(x)b(θ)exp[c(x)d(θ)]

  2. 2.

    exp[a(x)+b(θ)+c(x)d(θ)]

where a,b,c,d are known functions.If c(x)=x, then the distribution is said to be in canonical form. When the distribution is in canonical form, the function d(θ) is called a natural parameter. Other parameters present in the distribution that are not of any interest, or that are already calculated in advance, are called nuisance parameters.

Examples:

  • The normal distributionMathworldPlanetmath, N(μ,σ2), treating σ2 as a nuisance parameter, belongs to the exponential family. To see this, take the natural logarithmMathworldPlanetmath of N(μ,σ2) to get

    -12ln(2πσ2)-12σ2(x-μ)2

    Rearrange the above expression and we have

    xμσ2-μ22σ2-12[x2σ2+ln(2πσ2)]

    Set c(x)=x, d(μ)=μ/σ2, b(μ)=-μ2/(2σ2), anda(x)=-1/2[x2/σ2+ln(2πσ2)]. Then we see that N(μ,σ2) does indeed belong to the exponential family. Furthermore, it is in canonical form. The natural parameter is d(μ)=μ/σ2.

  • Similarly, the Poisson, binomial, Gamma, and inverse Gaussian distributions all belong to the exponential family and they are all in canonical form.

  • Lognormal and Weibull distributionsMathworldPlanetmath also belong to the exponential family but they are not in canonical form.

Remarks

  • If the p.d.f of a random variableMathworldPlanetmath X belongs to an exponential family, and it is expressed in the second of the two above forms, then

    E[c(X)]=-b(θ)d(θ),(1)

    and

    Var[c(X)]=d′′(θ)b(θ)-d(θ)b′′(θ)d(θ)3,(2)

    provided that functions b and d are appropriately conditioned.

  • Given a member from the exponential family of distributions, we haveE[U]=0 and I=-E[U], where U is the score functionMathworldPlanetmath and I the Fisher informationMathworldPlanetmath. To see this, first observe that the log-likelihood functionMathworldPlanetmath from a member of the exponential family of distributions is given by

    (θx)=a(x)+b(θ)+c(x)d(θ),

    and hence the score function is

    U(θ)=b(θ)+c(X)d(θ).

    From (1), E[U]=0.Next, we obtain the Fisher information I. By definition, we have

    I=E[U2]-E[U]2
    =E[U2]
    =d(θ)2Var[c(X)]
    =d′′(θ)b(θ)-d(θ)b′′(θ)d(θ)

    On the other hand,

    Uθ=b′′(θ)+c(X)d′′(θ)

    so

    E[Uθ]=b′′(θ)+E[c(X)]d′′(θ)
    =b′′(θ)-b(θ)d(θ)d′′(θ)
    =b′′(θ)d(θ)-b(θ)d′′(θ)d(θ)
    =-I
  • For example, for a Poisson distributionMathworldPlanetmath

    fX(xθ)=θxe-θx!,

    the natural parameter d(θ) is lnθ and b(θ)=-θ. c(x)=x since Poisson is in canonical form. Then

    U(θ)=-1+Xθ and I=-E[-Xθ2]=1θ

    as expected.

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更新时间:2025/5/4 13:31:58