Curved exponential family

A $(p,q)$ curved exponential family, with $q<p$, restricts a $p$-parameter canonical family to a smooth rank-$q$ parameter surface, usually a nonaffine surface. For example, $N(\mu ,{\mu }^2)$ with $\mu >0$ has sufficient statistics $(Y,Y^2)$ and natural parameters $(1/\mu ,-1/(2{\mu }^2))$, constrained by ${\eta }_2=-{\eta }_1^2/2$. Canonical concavity in the ambient parameters need not imply concavity along the curved parameter surface.

For independent $N(\mu ,{\mu }^2)$ observations with $\mu >0$, the sufficient statistics are their sum and squared norm. Condition on $a=\sqrt{n}\Vert y\Vert /{\sum }_i{y}_i>0$ and write $v=\hat{\mu }=\Vert y\Vert /(q\sqrt{n})$, where $q=(\sqrt{1+4a^2}+1)/(2a)$. Polar coordinates supply radial measure $\Vert y{\Vert }^{n-1}d\Vert y\Vert$, while the conditional angular factor does not depend on $\mu$. This proves the displayed shape. Its normalization depends on $a,n$ but not $\mu$ after the substitution $v=\mu z$, and agrees with the normalized P-star approximation.