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Consider an exponential dispersion model (EDM) generated by a probability μ on [0,∞) which is infinitely divisible with an unbounded Lévy measure ν. The Jørgensen set (i.e., the dispersion parameter space) is then R+, in which case the EDM is characterized by two parameters: θ0, the natural parameter of the associated natural exponential family, and the Jørgensen (or dispersion) parameter, t. Denote...
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