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Exponential Families

The oldest general class of models specified by unnormalized densities are exponential families. Let tex2html_wrap_inline2403 be a map and define

displaymath2405

Suppose tex2html_wrap_inline2349 is not the zero measure so that tex2html_wrap_inline2409 for all tex2html_wrap_inline2411 . Define

displaymath2413

For each tex2html_wrap_inline2375 , define

  equation95

and then define tex2html_wrap_inline2377 by (1.2). Then tex2html_wrap_inline2387 is the full exponential family of probability densities with respect to tex2html_wrap_inline2349 with canonical statistic t(X), canonical parameter tex2html_wrap_inline2411 , and canonical parameter space tex2html_wrap_inline2427 (also called natural statistic, parameter, and parameter space, respectively).

It is clear that tex2html_wrap_inline2369 is a family of unnormalized densities with respect to tex2html_wrap_inline2349 specifying the exponential family tex2html_wrap_inline2395 and that c is the normalizing function of the family. The term `normalizing function' is not used in the exponential family literature; c is sometimes called the Laplace transform of the measure tex2html_wrap_inline2439 , and tex2html_wrap_inline2441 is sometimes called the cumulant function of the family. These names only apply when the unnormalized densities have the special structure (1.3), so we shall not use them, being interested in general families of unnormalized densities.

Of particular interest in spatial statistics and stochastic geometry are exponential families associated with finite-volume Gibbs distributions, Markov random fields, and Markov point processes.



Charles Geyer
Fri Jul 5 15:26:21 CDT 1996