Exponential dispersion model

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In probability and statistics, the class of exponential dispersion models (EDM) is a set of probability distributions that represents a generalisation of the natural exponential family. [1][2][3] Exponential dispersion models play an important role in statistical theory, in particular in generalized linear models because they have a special structure which enables deductions to be made about appropriate statistical inference.


Definition

Univariate case

There are two versions to formulate an exponential disperson model.

Additive exponential dispersion model

In the univariate case, a real-valued random variable belongs to the additive exponential dispersion model with canonical parameter and index parameter , , if its probability density function can be written as

Reproductive exponential dispersion model

The distribution of the transformed random variable is called reproductive exponential dispersion model, , and is given by

with and , implying . The terminology dispersion model stems from interpreting as dispersion parameter. For fixed parameter , the is a natural exponential family.

Multivariate case

In the multivariate case, the n-dimensional random variable has a probability density function of the following form[1]

where the parameter has the same dimension as .


Properties

Cumulant-generating function

The cumulant-generating function of is given by

with

Mean and variance

Mean and variance of are given by

with unit variance function .

Reproductive

If are i.i.d. with , i.e. same mean and different weights , the weighted mean is again an with

with . Therefore are called reproductive.

Unit deviance

The probability density function of an can also be expressed in terms of the unit deviance as

where the unit deviance takes the special form or in terms of the unit variance function as .

Examples

A lot of very common probability distributions belong to the class of EDMs, among them are: Normal distribution, Binomial distribution, Poisson distribution, Negative binomial distribution, Gamma distribution, Inverse Gaussian distribution, Tweedie distribution.


References

  1. ^ a b Jørgensen, B. (1987). Exponential dispersion models (with discussion). Journal of the Royal Statistical Society, Series B, 49 (2), 127–162.
  2. ^ Jørgensen, B. (1992). The theory of exponential dispersion models and analysis of deviance. Monografias de matemática, no. 51.
  3. ^ Marriott, P. (2005) "Local Mixtures and Exponential Dispersion Models" pdf
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