A Characterization of Poisson-Gaussian Families by Convolution-Stability

A. E. Koudou and D. Pommeret

Journal of Multivariate Analysis, 2002, vol. 81, issue 1, 120-127

Abstract: If the convolution of natural exponential families on d is still a natural exponential family, then the families are all Poisson-Gaussian, up to affinity. This statement is a generalization of the one-dimensional versions proved by G. Letac (1992, "Lectures on Natural Exponential Functions and Their Variance Functions," Instituto de Matemática pura e aplicada: Monografias de matemática, 50, Río de Janeiro) in the case of two families, and by D. Pommeret (1999, C. R. Acad. Sci. Ser. I328, 929-933) for more than two families.

Keywords: convolution; marginal; law; natural; exponential; families; Poisson-Gaussian; families; variance; function (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (2)

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