Exponential Families Sampling

This lecture discusses sampling from exponential families, exploring scenarios where the sample comes from a certain exponential family distribution. It covers the joint distribution, exact moments of key statistics, and the sampling distribution approximation. The instructor presents the convergence in law, probability, and weak convergence, along with the Slutsky theorem and the central limit theorem. The lecture concludes with new limit theorems derived from classical ones, emphasizing the importance of understanding the distribution of sample statistics.