Quadratic Mean Differentiability

statisticsasymptotic theory

In a smooth model, nearby parameter values produce a likelihood ratio with a linear random term and a quadratic drift. Ordinary Taylor expansion suggests this form but may not control the summed remainder. Quadratic-mean differentiability replaces pointwise differentiability of the log density by an integrated expansion of its square root. We begin with normal and exponential-family calculations to identify what this condition must accomplish.

Quadratic-mean differentiability controls an integrated expansion of square-root densities. The contiguity note proves how this condition produces local asymptotic normality, including the score mean, support changes, and the likelihood remainder. Its third-lemma calculation then gives the distribution of a statistic under local alternatives.

For the ensuing discussion, let \(\Theta \subset \mathbb R^d\) be an open subset. Consider a family of parametric models \(\mathcal P = \{P_\theta : \theta \in \Theta\}\), where \(P_\theta\) is defined on a (measurable) sample space \((\mathcal X, \mathscr A)\). Assume \(P_\theta\) is absolutely continuous with respect to a \(\sigma\)-finite measure \(\mu\), i.e. we define \(p_\theta (x) = \frac{\dif P_\theta (x)}{\dif \mu(x)}\). We want to specifically look at smooth parametric family.

For testing a simple null \(\theta_0\) against \(\theta_1\), write \(\mathcal L_N(\theta)=\prod_{i=1}^Np_\theta(X_i)\) and \(\Lambda_N=\log\{\mathcal L_N(\theta_1)/\mathcal L_N(\theta_0)\}\). The Neyman–Pearson test rejects for large \(\Lambda_N\), with boundary randomization when needed to attain its level.

In the normal location model with known \(\sigma^2>0\), the constants in the density cancel, and summing the individual squared differences gives

\[\begin{aligned}\Lambda_N&=\frac1{2\sigma^2}\sum_{i=1}^N\{(X_i-\theta_0)^2-(X_i-\theta_1)^2\}\\&=\frac N{\sigma^2}\left\{(\theta_1-\theta_0)\bar X_N-\frac{\theta_1^2-\theta_0^2}{2}\right\}.\end{aligned}\]

For a fixed \(\theta_1\ne\theta_0\), the LLN under \(\theta_0\) gives \(\Lambda_N/N\to_P-(\theta_1-\theta_0)^2/(2\sigma^2)\); thus \(\Lambda_N\to_P-\infty\). Fixed alternatives become distinguishable, whereas alternatives at distance \(N^{-1/2}\) produce a nondegenerate local problem.

Substitute \(\theta_1=\theta_0+h/\sqrt N\). Expanding \(\theta_1^2-\theta_0^2=2\theta_0h/\sqrt N+h^2/N\) gives the exact identity

\[\Lambda_N=hZ_N-\frac{h^2}{2\sigma^2},\qquad Z_N=\frac{\sqrt N(\bar X_N-\theta_0)}{\sigma^2}\sim \mathcal{N}(0,\sigma^{-2})\quad\text{under }\theta_0.\]

Hence \(\Lambda_N\sim \mathcal{N}(-h^2/(2\sigma^2),h^2/\sigma^2)\), including the degenerate law at zero when \(h=0\). The random term is linear in the local displacement; the deterministic drift is negative and quadratic.

For a natural one-parameter exponential family, take \(p_\theta(x)=\exp\{\theta T(x)-A(\theta)\}\) relative to its fixed base measure, with \(\theta_0\) in the interior of the natural parameter domain. Differentiating the normalizing integral there gives \(E_{\theta_0}T=A'(\theta_0)\) and \(\operatorname{Var}_{\theta_0}(T)=A''(\theta_0)\). The log likelihood ratio is

\[\Lambda_N=\frac h{\sqrt N}\sum_{i=1}^NT(X_i)-N\{A(\theta_0+h/\sqrt N)-A(\theta_0)\}.\]

Taylor expansion of the single deterministic function \(A\) yields

\[N\{A(\theta_0+h/\sqrt N)-A(\theta_0)\}=h\sqrt N A'(\theta_0)+\frac12h^2 A''(\theta_0)+o(1).\]

Subtracting cancels the mean of the sum, so

\[\Lambda_N=hW_N-\frac12h^2 A''(\theta_0)+o(1),\qquad W_N=N^{-1/2}\sum_i\{T(X_i)-A'(\theta_0)\}\Rightarrow \mathcal{N}(0,A''(\theta_0)).\]

Interior natural parameters provide finite moments locally, justifying both derivatives and the CLT. This repeats the normal calculation with \(A''(\theta_0)\) in place of \(\sigma^{-2}\).

The examples suggest a general question: which integrated smoothness condition guarantees a second-order likelihood expansion? Formally, we seek

\[\begin{aligned} p_{\theta_0 + h} (x) - p_{\theta_0} (x) - \langle \dot p_{\theta_0} (x), h \rangle = o(|h|) ~\text{as } |h| \to 0 ~. \end{aligned}\]

It suffices to control square-root densities in the quadratic norm. Squaring the approximation recovers information about density normalization, while the quadratic norm controls the remainder. To that end, define

\[\begin{aligned} R(x,h; \theta_0) \triangleq \sqrt{p_{\theta_0 + h}(x)} - \sqrt{p_{\theta_0}(x)} - \langle \eta(x,\theta_0), h \rangle ~. \end{aligned}\]

Here, \(\eta(\cdot, \theta)\) is understood as a \(d\)-dimensional vector of real-valued functions. The remainder measures the error in approximating the square-root density by its linear part. The broad heuristic is it is enough to look at the \(L^2\) norm of this “remainder”, and require that it be “small” as we scale the alternative hypothesis \(h\).

By the heuristic above, a parametric family \(\mathcal P = \{ P_\theta : \theta \in \Theta \}\) is said to be quadratic mean differentiable (qmd) at \(\theta_0\) if there exists a vector of real-valued functions, \(\eta(\cdot, \theta) = (\eta_1(\cdot, \theta), \dots, \eta_d(\cdot,\theta))^\top\), such that

\[\begin{aligned} \int_{\mathcal X} \left( \sqrt{p_{\theta_0 + h}(x)} - \sqrt{p_{\theta_0}(x)} - \langle \eta(x,\theta_0), h \rangle \right)^2 \dif \mu(x) = o(|h|^2) \end{aligned}\]

for the fixed dominating measure \(\mu\), as \(|h| \to 0\). This definition is particularly useful because of the following result.

Lemma 1. If the model is QMD at the interior point \(\theta_0\), then \(\eta_j\in L^2(\mu)\), \(\eta_j=0\) almost everywhere on \(\{p_{\theta_0}=0\}\), and the score

\[\dot\ell_{\theta_0}(x)=\begin{cases}2\eta(x,\theta_0)/\sqrt{p_{\theta_0}(x)},&p_{\theta_0}(x)>0,\\0,&p_{\theta_0}(x)=0,\end{cases}\]

has mean zero and finite second moment under \(P_{\theta_0}\).

Proof. Put \(s=\sqrt{p_{\theta_0}}\), and for a fixed direction \(u\), \(s_t=\sqrt{p_{\theta_0+tu}}\). QMD says

\[\|(s_t-s)/t-u^\top\eta\|_{L^2(\mu)}\longrightarrow0.\]

Each difference quotient belongs to \(L^2\), so its limit does also. Taking coordinate directions gives \(\eta_j\in L^2\). On \(\{s=0\}\), the quotients for \(t>0\) are nonnegative and those for \(t<0\) are nonpositive. Their common \(L^2\) limit is therefore zero there. Both signs of \(t\) are available because \(\theta_0\) is interior.

Normalization gives \(\|s_t\|_2=\|s\|_2=1\), hence

\[0=\int\frac{s_t-s}{t}(s_t+s)\,d\mu\longrightarrow2\int u^\top\eta\,s\,d\mu.\]

Cauchy–Schwarz justifies the limit because the first factor converges in \(L^2\) and the second converges to \(2s\) there. Thus \(E_{\theta_0}(u^\top\dot\ell_{\theta_0})=0\). Finally \(E\|\dot\ell_{\theta_0}\|^2=4\int\|\eta\|^2\,d\mu<\infty\). ◻

The information matrix is therefore

\[I(\theta_0)=E_{\theta_0}[\dot\ell_{\theta_0}\dot\ell_{\theta_0}^\top]=4\int\eta(x,\theta_0)\eta(x,\theta_0)^\top\,d\mu(x).\]

Lemma 2. For every \(h\in\mathbb R^d\),

\[\int|h^\top\eta(x,\theta_0)|^2\,d\mu(x)=\frac14h^\top I(\theta_0)h.\]

Proof. Expand the square as \(\sum_{i=1}^d\sum_{j=1}^d h_ih_j\eta_i\eta_j\). Each product is integrable by Cauchy–Schwarz, so finite summation and integration commute. The \((i,j)\)-entry of the integral is \(I_{ij}/4\), giving the identity. In particular the information matrix is symmetric and nonnegative definite; invertibility, when used later, makes it positive definite. ◻

Here is a sufficient condition that works in every finite parameter dimension. The differentiability assumption refers to square-root densities, including points where a density vanishes.

Theorem 3. Suppose, outside one fixed \(\mu\)-null set, \(\theta\mapsto s_\theta(x)=\sqrt{p_\theta(x)}\) is continuously differentiable on a neighborhood of \(\theta_0\), with gradient \(\eta(x,\theta)\). Suppose \(I(\theta)=4\int\eta(x,\theta)\eta(x,\theta)^\top\,d\mu\) is finite nearby and continuous at \(\theta_0\). Then the model is QMD at \(\theta_0\), with derivative \(\eta(\cdot,\theta_0)\).

At points with positive density, \(\eta=\nabla p_\theta/(2\sqrt{p_\theta})\); at points with zero density, \(\eta=0\), since the differentiable nonnegative function \(s_\theta(x)\) has a local minimum.

Proof. First the gradients are continuous in \(L^2(\mu;\mathbb R^d)\). For any \(\theta_n\to\theta_0\), pointwise continuity gives \(\eta_n\to\eta_0\), and continuity of the trace of \(I\) gives \(\int\|\eta_n\|^2\to\int\|\eta_0\|^2\). Scheffé's argument applied to these nonnegative squared norms gives their \(L^1\) convergence: write the absolute difference as their sum minus twice their minimum, and use dominated convergence for the minimum. Now \(\|\eta_n-\eta_0\|^2\to0\) pointwise and is bounded by \(2\|\eta_n\|^2+2\|\eta_0\|^2\), which converges in \(L^1\). The generalized dominated-convergence argument gives \(\|\eta_n-\eta_0\|_2\to0\). To see that last argument directly, subtract the integrand from its nonnegative majorant and apply Fatou; the convergent integrals of the majorants force the limsup of the smaller integrals to be zero.

Choose \(h\) so the entire segment \(\theta_0+th\), \(0\le t\le1\), stays in the neighborhood. The fundamental theorem of calculus gives

\[s_{\theta_0+h}-s_{\theta_0}-h^\top\eta_0=\int_0^1 h^\top(\eta_{\theta_0+th}-\eta_0)\,dt.\]

Jensen, Cauchy–Schwarz, and Tonelli imply

\[\|s_{\theta_0+h}-s_{\theta_0}-h^\top\eta_0\|_2^2\le\|h\|^2\int_0^1\|\eta_{\theta_0+th}-\eta_0\|_2^2\,dt\le\|h\|^2\sup_{\|v\|\le\|h\|}\|\eta_{\theta_0+v}-\eta_0\|_2^2=o(\|h\|^2).\]

This is exactly QMD. The result is the sufficient condition of van der Vaart, Lemma 7.6; the argument above explicitly supplies the multivariate segment and integrated convergence. ◻

Proposition 4. Let \(X_1,\ldots,X_n\) be iid from \(P_{\theta_0}\), where \(\theta_0\) is interior, the model is QMD there, and \(I=I(\theta_0)\) is nonsingular. Assume on a fixed neighborhood \(U\) that the log densities are finite \(P_{\theta_0}\)-almost surely and

\[|\log p_{\theta_1}(x)-\log p_{\theta_2}(x)|\le M(x)\|\theta_1-\theta_2\|,\qquad P_{\theta_0}M^2<\infty.\]

Let \(\hat\theta_n\to_P\theta_0\) be measurable approximate likelihood maximizers satisfying

\[P_n\log p_{\hat\theta_n}\ge\sup_{\theta\in U}P_n\log p_\theta-o_P(n^{-1}).\]

Likelihood contrasts may be used if individual log-density integrals do not exist. Then

\[\sqrt n(\hat\theta_n-\theta_0)=I^{-1}\frac1{\sqrt n}\sum_{i=1}^n\dot\ell_{\theta_0}(X_i)+o_P(1)\Rightarrow N_d(0,I^{-1}).\]

Proof. Write \(P=P_{\theta_0}\), \(m_\theta=\log p_\theta-\log p_{\theta_0}\), \(\Delta_n=\mathbb G_n\dot\ell_{\theta_0}\), and \(\mathbb G_n=\sqrt n(P_n-P)\). QMD and the scalar logarithm expansion show, for every deterministic \(h_n\to h\),

\[a_n:=\sqrt n\,m_{\theta_0+h_n/\sqrt n}\to h^\top\dot\ell_{\theta_0}\quad\text{in }P\text{-probability}.\]

Indeed the square-root ratio satisfies \(\sqrt n\,2(\sqrt{p_{\theta_0+h_n/\sqrt n}/p_{\theta_0}}-1)\to h^\top\dot\ell_{\theta_0}\) in \(L^2(P)\), and \(2\log(1+w/2)=w+O(w^2)\) near zero. The Lipschitz bound gives \(|a_n|\le M\sup_n\|h_n\|\). This square-integrable envelope upgrades convergence in probability to \(L^2(P)\). Therefore

\[\operatorname{Var}\{\mathbb G_n(a_n-h^\top\dot\ell_{\theta_0})\}\le P(a_n-h^\top\dot\ell_{\theta_0})^2\to0.\]

The LAN expansion, proved in the linked contiguity note, and the decomposition \(nP_nm_{\theta_0+h_n/\sqrt n}=\mathbb G_na_n+nPm_{\theta_0+h_n/\sqrt n}\), then give

\[nPm_{\theta_0+h_n/\sqrt n}\to-\frac12h^\top Ih.\]

These deterministic sequential limits yield the second-order population expansion \(Pm_{\theta_0+v}=-v^\top Iv/2+o(\|v\|^2)\): for any sequence \(v\to0\), take \(n\) of order \(\|v\|^{-2}\) and extract a convergent subsequence of its normalized directions. The preceding limit applies to each such subsequence.

Two empirical-process steps are needed before substituting the random fitted direction: root-\(n\) boundedness of a consistent approximate maximizer, and stochastic equicontinuity of the local remainder under the square-integrable Lipschitz envelope. These are the explicit inputs of van der Vaart, Theorem 5.23 (including its differentiability-in-probability footnote), used in the proof of Theorem 5.39. They give \(\hat h_n=\sqrt n(\hat\theta_n-\theta_0)=O_P(1)\) and, for every \(H_n=O_P(1)\),

\[nP_nm_{\theta_0+H_n/\sqrt n}=H_n^\top\Delta_n-\frac12H_n^\top IH_n+o_P(1).\]

We retain those two rate/equicontinuity results as cited theorem inputs. The final optimization step is elementary: the quadratic on the right is maximized at \(h_n^*=I^{-1}\Delta_n=O_P(1)\). Both \(\hat\theta_n\) and \(\theta_0+h_n^*/\sqrt n\) lie in \(U\) with probability tending to one. Approximate likelihood maximization and completion of the square give

\[\frac12(\hat h_n-h_n^*)^\top I(\hat h_n-h_n^*)\le o_P(1).\]

Positive definiteness forces \(\hat h_n-h_n^*\to_P0\). Lemma 1 and the multivariate CLT give \(\Delta_n\Rightarrow N_d(0,I)\), yielding the assertion. Consistency alone would not suffice: in the normal mean model, \(\bar X_n+n^{-1/4}\) is consistent but has a diverging root-\(n\) error. ◻

Source for the explicit theorem inputs: van der Vaart, Asymptotic Statistics, Theorems 5.23 and 5.39, pp. 53–54 and 65–66; the square-root sufficient condition is Lemma 7.6, pp. 95–96.

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