Characterization of the cubic exponential families by orthogonality of polynomials

Abstract

This paper introduces a notion of 2-orthogonality for a sequence of polynomials to give extended versions of the Meixner and Feinsilver characterization results based on orthogonal polynomials. These new versions subsume the Letac-Mora characterization of the real natural exponential families having cubic variance function.Comment: Published at http://dx.doi.org/10.1214/009117904000000522 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org