Conditional natural exponential families

Afif Masmoudi

Statistics & Probability Letters, 2006, vol. 76, issue 17, 1882-1888

Abstract: Let F={P[theta];[theta][set membership, variant][Theta]} be a natural exponential family on and let H be an exposed face of the closed convex hull of the F support. The aim of this paper is to study the asymptotic behavior of the law P[theta]+[lambda]u as [lambda] increases to +[infinity], for all u exterior normal vector of H. We obtain a degenerate weak limit P[theta],+[infinity] concentrated on the face H. The relation between the conditional law of P[theta] given H and P[theta],+[infinity] is established and some illustrating examples are given.

Keywords: Conditional; law; Convex; Exponential; family; Face; Means; domain; Variance; function (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (1)

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