On Natural Exponential Families with Log-Affine Generalized Variance

Abstract

We study natural exponential families whose generalized variance, the determinant of the covariance matrix, is log-affine in the natural parameter. Without any assumption on the natural parameter domain, we show that every such family is regular and that it is Gaussian when its generalized variance is constant. Consequently, a sample of size $n>d$ in $\mathbb{R}^d$ comes from a non-degenerate normal law exactly when the conditional expectation of the sample generalized variance given the sample mean is a positive constant. Every non-Gaussian family puts mass on a facet of its convex support, and, as for a Poisson count, its height above that facet takes only integer multiples of a fixed step. More generally, its displacement away from any exposed face that carries mass has nonnegative integer coordinates in a suitable basis. A local inequality between third and fourth cumulants singles out the Poisson--Gaussian families and yields a complete classification of the infinitely divisible ones. Geometrically, a semi-flat Kähler tube, whose potential has constant Hessian determinant, is flat if some multiple of its metric is projectively induced near a point.