On polynomial variance functions

Abstract

Let ℱ be a natural exponential family onℝ and (V, Ω) be its variance function. Here, Ω is the mean domain of ℱ andV, defined on Ω, is the variance of ℱ. A problem of increasing interest in the literature is the following: Given an open interval Ω⊂ℝ and a functionV defined on Ω, is the pair (V, Ω) a variance function of some natural exponential family? Here, we consider the case whereV is a polynomial. We develop a complex-analytic approach to this problem and provide necessary conditions for (V, Ω) to be such a variance function. These conditions are also sufficient for the class of third degree polynomials and certain subclasses of polynomials of higher degree.