Paper 2, Section I, J

Statistical Modelling
Part II, 2011

Let f0f_{0} be a probability density function, with cumulant generating function KK. Define what it means for a random variable YY to have a model function of exponential dispersion family form, generated by f0f_{0}. Compute the cumulant generating function KYK_{Y} of YY and deduce expressions for the mean and variance of YY that depend only on first and second derivatives of KK.