Duality for real and multivariate exponential families

Abstract

Consider a measure $μ$ on $\R^n$ generating a natural exponential family $F(μ)$ with variance function $V_{F(μ)}(m)$ and Laplace transform $$ \exp(\ell_μ(s))=\int_{\R^n} \exp(-\ )μ(dx).$$ A dual measure $μ^*$ satisfies $-\ell'_{μ^*}(-\ell'_μ(s))=s.$ Such a dual measure does not always exist. One important property is $\ell"_{μ^*}(m)=(V_{F(μ)}(m))^{-1},$ leading to the notion of duality among exponential families (or rather among the extended notion of T exponential families $T\hskip-2pt F$ obtained by considering all translations of a given exponential family $F$).