Bayesian approach to cubic natural exponential families

Abdelhamid Hassairi (1) , Marwa Hamza (2)

1 Laboratory of Probability and Statistics
2 Laboratory of Probability and Statistics

For a natural exponential family (NEF), one can associate in a natural way two standard families of conjugate priors, one on the natural parameter and the other on the mean parameter. These families of conjugate priors have been used to establish some remarkable properties and characterization results of the quadratic NEF's. In the present paper, we show that for a NEF, we can associate a class of NEF's, and for each one of these NEF's, we define a family of conjugate priors on the natural parameter and a family of conjugate priors on the mean parameter which are different of the standard ones. These families are then used to extend to the Letac-Mora class of real cubic natural exponential families the properties and characterization results related to the Bayesian theory established for the quadratic natural exponential families.

Mots clés: natural exponential family; variance function; prior distribution; posterior expectation

Domaines: Probabilités [math.PR]

Abdelhamid Hassairi, Marwa Hamza. Bayesian approach to cubic natural exponential families. 2012. ⟨hal-00750237⟩