Posterior variance for quadratic natural exponential families

Denys Pommeret

Statistics & Probability Letters, 2001, vol. 53, issue 4, 357-362

Abstract: Within the framework of the quadratic natural exponential families we construct a basis of polynomials orthogonal with respect to the posterior density. This construction is adapted from Walter and Hamedani (Ann. Statist. 3 (1991) 1191) and we exploit them to establish lower bounds for the posterior variance.

Keywords: Natural; exponential; families; Orthogonal; polynomials; Posterior; variance (search for similar items in EconPapers)
Date: 2001
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