Characterizing Exponential Family Distributions by Moment Generating Functions

Abstract

It is shown that if $\mathbf{T}$ has an unknown exponential family distribution with natural parameter $\mathbf{\theta}$, then $\mathbf{G(\theta)} = \mathbf{ET}$ uniquely specifies the moment generating function. The converse is proved, namely, if $\{\mathbf{T_\theta}\}$ is a family of random variables with moment generating functions of a certain form, then it must be an exponential family. Moreover, several necessary and sufficient conditions are given so that a function can be the mean value function of an exponential family distribution.