Unbiased estimation in one-parameter exponential families for the inverse of the natural parameter with extensions

Abstract

For one-parameter continuous exponential families, we identify an unbiased estimator of the inverse of the natural parameter $\theta$ for cases where $\theta > 0$, extending an earlier result of \cite{voinov1985unbiased} applicable to a normal model. We provide various applications for Gamma models, Inverse Gaussian models, distributions obtained by truncation, and ratios of normal means. Moreover, we extend the findings to estimating negative powers $\theta^{-k}$, and more generally to complete monotone functions $q(\theta)$.