exponential family
A probability (density) function
given a parameter is said to belong to the (one parameter) exponential family of distributions
if it can be written in one of the following two equivalent
forms:
- 1.
- 2.
where are known functions.If , then the distribution is said to be in canonical form. When the distribution is in canonical form, the function 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 distribution
, , treating as a nuisance parameter, belongs to the exponential family. To see this, take the natural logarithm
of to get
Rearrange the above expression and we have
Set , , , and. Then we see that does indeed belong to the exponential family. Furthermore, it is in canonical form. The natural parameter is .
- •
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 distributions
also belong to the exponential family but they are not in canonical form.
Remarks
- •
If the p.d.f of a random variable
belongs to an exponential family, and it is expressed in the second of the two above forms, then
(1) and
(2) provided that functions and are appropriately conditioned.
- •
Given a member from the exponential family of distributions, we have and , where is the score function
and the Fisher information
. To see this, first observe that the log-likelihood function
from a member of the exponential family of distributions is given by
and hence the score function is
From (1), .Next, we obtain the Fisher information . By definition, we have
On the other hand,
so
- •
For example, for a Poisson distribution
the natural parameter is and . since Poisson is in canonical form. Then
as expected.