A reverse martingale property that characterizes the natural exponential family with quadratic variance function

Fernando López-Blázquez and Begoña Salamanca-Miño

Statistics & Probability Letters, 2000, vol. 49, issue 1, 63-68

Abstract: We give a characterization of the natural exponential family with quadratic variance function in terms of a discrete-time reverse martingale-like property. The proof of this result is based on the properties of the set of UMVU estimable functions.

Keywords: UMVU; estimation; Orthogonal; polynomials; Exponential; families; Discrete; martingales (search for similar items in EconPapers)
Date: 2000
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