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Natural parametrization of pdfs

by WantToBeSmart
Tags: natural, parametrization, pdfs
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WantToBeSmart
#1
Nov21-11, 12:34 PM
P: 10
I am struggling to understand the concept of natural parametrization of pdf of exponential family. Say that we have a function with the following pdf:

[tex]f(x;\theta)=exp\left[\sum_{j=1}^k A_j(\theta)B_j(x)+C(x)+D(\theta)\right][/tex]

where A and D are functions of [itex]\theta[/itex] alone and B and C are functions of x alone.

Natural parametrization.

[tex]f(x;\phi)=exp\left[\sum_{j=1}^k \phi_jB_j(x)+C(x)+D(\phi)\right][/tex]

where [tex]\phi_j=A_j(\theta)[/tex]

My two questions are:

1 How to I find [itex]D(\phi)?[/itex]
2 Can we perform natural parametrization on all pdfs belonging to the exponential family? If not why is that the case?

Thank you in advance!
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Stephen Tashi
#2
Nov22-11, 01:44 PM
Sci Advisor
P: 3,254
Quote Quote by WantToBeSmart View Post
1 How to I find [itex]D(\phi)?[/itex]
It isn't clear from your notation whether [itex] \phi [/itex] is a scalar or a vector.

2 Can we perform natural parametrization on all pdfs belonging to the exponential family? If not why is that the case?
I had to look up "natural parameterization" on the web and from that glance, I think what you are asking entails such questions as: How do we write an arbitrary function of two variables as a sum of two functions, each involving one variable? I don't know a procedure for doing that. If you allowed to define new variables then for f(x,y) = xy, one could certainly set p = xy and write f(x,y) as a function of one variable p. For a more complicated function, I think it is a complicated question. Perhaps some other forum member will know the answer.


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