Exponential Distribution – What is the Name of the Functions in Exponential Dispersion Family

exponential distributionexponential-familyterminology

If an exponential family is given by:

$g(y|\theta) = exp\{\theta^TT(y)-A(\theta)\}h(y)$

then the functions $h(y)$, $A(\theta)$ and $T(y)$ are defined by names:
$T(y)$ is a sufficient statistic
$A(\theta)$ is a cumulant function
$h(y)$ is an underlying measure

For an exponential dispersion family:

$f_Y(y;\theta, \phi) = exp\left\{\frac{(y\theta – b(\theta)}{a(\phi)}) + c(y, \phi) \right\}$

does $a(\phi)$, $b(\theta)$ and $c(y, \phi)$ similarly have names? This notation is from Nelder and McCullaghs Generalized Linear Models

Best Answer

The exponential dispersion family is most easily compared to the natural exponential family (which is like the exponential family with $T(y) = y$).

The natural exponential family

$$f(y|\theta) = \exp\left(\theta^Ty-A(\theta)\right)\cdot h(y)$$

The exponential dispersion family

$$f(y|\theta,\lambda) = \exp\left(\theta^Ty-\lambda A(\theta)\right) \cdot h(y,\lambda)$$

You get the same functions $A(\theta)$ and $h(x)$, but now there is an additional dependency on a parameter $\lambda$ which scales the precision (inverse of variance) of the distribution (and also adds an additional dependency of the precision on $y$).

Your expression with $a$, $b$ and $c$ rearranges these terms, but that does not make the difference between the exponential family and the exponential dispersion family.