A characterization of Poisson-Gaussian families by generalized variance
Kokonendji, Célestin C. ; Masmoudi, Afif
Bernoulli, Tome 12 (2006) no. 2, p. 371-379 / Harvested from Project Euclid
We show that if the generalized variance of an infinitely divisible natural exponential family [math] in a [math] -dimensional linear space is of the form [math] , then there exists [math] in [math] such that [math] is a product of [math] univariate Poisson and ( [math] )-variate Gaussian families. In proving this fact, we use a suitable representation of the generalized variance as a Laplace transform and the result, due to Jörgens, Calabi and Pogorelov, that any strictly convex smooth function [math] defined on the whole of [math] such that [math] is a positive constant must be a quadratic form.
Publié le : 2006-04-14
Classification:  affine variance function,  determinant,  infinitely divisible measure,  Laplace transform,  Monge-Ampère equation,  r-reducibility
@article{1145993979,
     author = {Kokonendji, C\'elestin C. and Masmoudi, Afif},
     title = {A characterization of Poisson-Gaussian families by generalized variance},
     journal = {Bernoulli},
     volume = {12},
     number = {2},
     year = {2006},
     pages = { 371-379},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1145993979}
}
Kokonendji, Célestin C.; Masmoudi, Afif. A characterization of Poisson-Gaussian families by generalized variance. Bernoulli, Tome 12 (2006) no. 2, pp.  371-379. http://gdmltest.u-ga.fr/item/1145993979/