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exponential dispersion model : ウィキペディア英語版
exponential dispersion model
Exponential dispersion models are statistical models in which the probability distribution is of a special form.〔Marriott, P. (2005) "Local Mixtures and Exponential Dispersion
Models" (pdf )〕〔Jørgensen, B. (1987). Exponential dispersion models (with discussion). Journal of the Royal Statistical Society, Series B, 49 (2), 127–162.〕 This class of models represents a generalisation of the exponential family of models which themselves play an important role in statistical theory because they have a special structure which enables deductions to be made about appropriate statistical inference.
==Definition==
Exponential dispersion models are a generalisation of the natural exponential family: these have a probability density function which, for a multivariate model, can be written as
: f_X(\mathbf|\boldsymbol) = h(\mathbf) \exp(\boldsymbol\theta^\top \mathbf - A(\boldsymbol\theta)) \,\! ,
where the parameter \boldsymbol\theta has the same dimension as the observation variable \mathbf. The generalisation includes an extra scalar "index parameter", \lambda, and has density function of the form〔
: f_X(\mathbf|\lambda,\boldsymbol) = h(\lambda,\mathbf) \exp (\lambda (\mathbf - A(\boldsymbol\theta) ) ) \,\! .
The terminology "dispersion parameter" is used for \sigma^2=\lambda^, while \boldsymbol\theta is the "natural parameter" (also known as "canonical parameter").

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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