Efficient unbiased estimator implies exponential family
ID: efficient-unbiased-estimator-implies-exponential-family
In a regular one-parameter statistical model, equality in the Cramér-Rao lower bound for an unbiased estimator implies the score function . Integrating in the parameter on a regular connected interval gives , with and . Thus efficiency for every parameter value forces an exponential family structure, under the usual common-support and differentiation assumptions.
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