Paper 4, Section I, K

Statistical Modelling
Part II, 2012

Define the concepts of an exponential dispersion family and the corresponding variance function. Show that the family of Poisson distributions with parameter λ>0\lambda>0 is an exponential dispersion family. Find the corresponding variance function and deduce from it expressions for E(Y)E(Y) and Var(Y)\operatorname{Var}(Y) when YPois(λ)Y \sim \operatorname{Pois}(\lambda). What is the canonical link function in this case?