Timeline for Convex support of an exponential family and its mean parameter space $\mathcal{M}$
Current License: CC BY-SA 3.0
17 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jul 10, 2017 at 13:47 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Jun 10, 2017 at 13:06 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| May 11, 2017 at 12:54 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Mar 23, 2017 at 20:49 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Feb 21, 2017 at 20:11 | comment | added | Henry.L | @passerby51 When you relax the compactness assumption on the $X$, you can say $\mathcal{M}\subset\mathcal{\bar{M}}$ trivially, and I think I have made it clear that duality relation implies $supp p(x)\subset\mathcal{K}$, and $\mathcal{M}\subset supp p(x)$. The second inequality is almost trivial since $suppp(x)\subset\mathcal{\bar{M}}$ is clear by Hamburger moment problem. I have corrected and emphasized the requirement of compactness. Hope helps. | |
| Feb 21, 2017 at 17:06 | history | edited | passerby51 | CC BY-SA 3.0 |
added 326 characters in body
|
| Feb 21, 2017 at 17:03 | comment | added | passerby51 | @Henry.L, thanks, please see my added example. | |
| Feb 21, 2017 at 17:02 | comment | added | passerby51 | @michael, that is interesting. It would be great if you could explain the connection with finance in an answer and yes I am interested in any proof of the second inequality. Brown was perhaps motivated by statistical applications, though he does not explicitly introduce $\mathcal M$, that is perhaps a more recent perspective. He works with the interior of $\mathcal K$. | |
| Feb 21, 2017 at 16:57 | history | edited | passerby51 | CC BY-SA 3.0 |
added 773 characters in body
|
| Feb 21, 2017 at 11:45 | comment | added | Henry.L | @passerby51 I edited the answer a bit and hope that solve your question. | |
| Feb 20, 2017 at 23:23 | answer | added | Henry.L | timeline score: 2 | |
| S Feb 20, 2017 at 22:55 | history | suggested | Henry.L | CC BY-SA 3.0 |
more precise notations
|
| Feb 20, 2017 at 22:31 | review | Suggested edits | |||
| S Feb 20, 2017 at 22:55 | |||||
| Feb 20, 2017 at 13:46 | comment | added | user83457 | You don't want a proof of the second inequality ? I don't know what Brown was interested in, but the question of when the risk free rate is in M is an important question in finance and you might browse the introductory chapters of Duffie's book Dynamic Asset Pricing & see what it suggests. | |
| S Feb 19, 2017 at 23:08 | history | suggested | Henry.L | CC BY-SA 3.0 |
add tags and edit title of the OP
|
| Feb 19, 2017 at 22:50 | review | Suggested edits | |||
| S Feb 19, 2017 at 23:08 | |||||
| Feb 4, 2017 at 16:10 | history | asked | passerby51 | CC BY-SA 3.0 |