diff --git a/lec_notes_lyx/lecture7.lyx b/lec_notes_lyx/lecture7.lyx index 8bd0ba2..cc280e1 100644 --- a/lec_notes_lyx/lecture7.lyx +++ b/lec_notes_lyx/lecture7.lyx @@ -447,7 +447,15 @@ Asymptotic Normality \begin_layout Standard The next step is to derive the asymptotic distribution of the MLE estimator. - + Let +\begin_inset Formula $s\left(x;\theta\right)=\partial\log f\left(x;\theta\right)/\partial\theta$ +\end_inset + + and +\begin_inset Formula $h\left(x;\theta\right)=\frac{\partial^{2}}{\partial\theta\partial\theta'}\log f\left(x;\theta\right)$ +\end_inset + + \end_layout \begin_layout Theorem @@ -460,7 +468,7 @@ name "thm:mis-MLE" Under suitable regularity conditions, the MLE estimator \begin_inset Formula \[ -\sqrt{n}\left(\widehat{\theta}-\theta_{0}\right)\stackrel{d}{\to}N\left(0,\left(E\left[\frac{\partial^{2}\log f\left(x;\theta_{0}\right)}{\partial\theta\partial\theta'}\right]\right)^{-1}\mathrm{var}\left[\frac{\partial\log f\left(x;\theta_{0}\right)}{\partial\theta}\right]\left(E\left[\frac{\partial^{2}\log f\left(x;\theta_{0}\right)}{\partial\theta\partial\theta'}\right]\right)^{-1}\right). +\sqrt{n}\left(\widehat{\theta}-\theta_{0}\right)\stackrel{d}{\to}N\left(0,\left(E\left[h\left(x;\theta_{0}\right)\right]\right)^{-1}\mathrm{var}\left[s\left(x;\theta_{0}\right)\right]\left(E\left[h\left(x;\theta_{0}\right)\right]\right)^{-1}\right). \] \end_inset @@ -557,7 +565,7 @@ When . Notice that -\begin_inset Formula $E\left[\frac{\partial}{\partial\theta}\log f\left(x;\theta_{0}\right)\right]=\frac{\partial}{\partial\theta}Q\left(\theta_{0}\right)=0$ +\begin_inset Formula $E\left[s\left(x;\theta_{0}\right)\right]=\frac{\partial}{\partial\theta}Q\left(\theta_{0}\right)=0$ \end_inset if differentiation and integration are interchangeable. @@ -574,7 +582,7 @@ noprefix "false" follows \begin_inset Formula \[ -\sqrt{n}\frac{\partial}{\partial\theta}\ell_{n}\left(\theta_{0}\right)\stackrel{d}{\to}N\left(0,\mathrm{var}\left[\frac{\partial}{\partial\theta}\log f\left(x;\theta_{0}\right)\right]\right). +\sqrt{n}\frac{\partial}{\partial\theta}\ell_{n}\left(\theta_{0}\right)\stackrel{d}{\to}N\left(0,\mathrm{var}\left[s\left(x;\theta_{0}\right)\right]\right). \] \end_inset @@ -590,7 +598,7 @@ noprefix "false" \end_inset follows -\begin_inset Formula $\frac{\partial}{\partial\theta\partial\theta'}\ell_{n}\left(\dot{\theta}\right)\stackrel{p}{\to}E\left[\frac{\partial^{2}}{\partial\theta\partial\theta'}\log f\left(x;\theta_{0}\right)\right]$ +\begin_inset Formula $\frac{\partial}{\partial\theta\partial\theta'}\ell_{n}\left(\dot{\theta}\right)\stackrel{p}{\to}E\left[h\left(x;\theta_{0}\right)\right]$ \end_inset (sufficient if we assume @@ -641,7 +649,7 @@ true (Fisher) information matrix \emph default , and -\begin_inset Formula $\mathcal{H}\left(\theta_{0}\right):=E_{f\left(x;\theta_{0}\right)}\left[\frac{\partial^{2}}{\partial\theta\partial\theta'}\log f\left(x;\theta_{0}\right)\right]$ +\begin_inset Formula $\mathcal{H}\left(\theta_{0}\right):=E_{f\left(x;\theta_{0}\right)}\left[h\left(x;\theta_{0}\right)\right]$ \end_inset is called the @@ -714,7 +722,7 @@ Because \begin_inset Formula \begin{align} 0 & =\int\frac{\partial}{\partial\theta}f\left(x;\theta_{0}\right)dx=\int\frac{\partial f\left(x;\theta_{0}\right)/\partial\theta}{f\left(x;\theta_{0}\right)}f\left(x;\theta_{0}\right)dx\nonumber \\ - & =\int\left[\frac{\partial}{\partial\theta}\log f\left(x;\theta_{0}\right)\right]f\left(x;\theta_{0}\right)dx=E_{f\left(x;\theta_{0}\right)}\left[\frac{\partial}{\partial\theta}\log f\left(x;\theta_{0}\right)\right]\label{eq:info_eqn_1} + & =\int\left[s\left(x;\theta_{0}\right)\right]f\left(x;\theta_{0}\right)dx=E_{f\left(x;\theta_{0}\right)}\left[s\left(x;\theta_{0}\right)\right]\label{eq:info_eqn_1} \end{align} \end_inset @@ -722,7 +730,7 @@ Because where the third equality holds as by the chain rule \begin_inset Formula \begin{equation} -\frac{\partial}{\partial\theta}\log f\left(\theta_{0}\right)=\frac{\partial f\left(x;\theta_{0}\right)/\partial\theta}{f\left(x;\theta_{0}\right)}.\label{eq:ell_d} +s\left(x;\theta_{0}\right)=\frac{\partial f\left(x;\theta_{0}\right)/\partial\theta}{f\left(x;\theta_{0}\right)}.\label{eq:ell_d} \end{equation} \end_inset @@ -744,10 +752,10 @@ noprefix "false" , according to the chain rule: \begin_inset Formula \begin{align*} -0 & =\int\left[\frac{\partial^{2}}{\partial\theta\partial\theta'}\log f\left(x;\theta_{0}\right)\right]f\left(x;\theta_{0}\right)dx+\int\left[\frac{\partial}{\partial\theta}\log f\left(x;\theta_{0}\right)\right]\frac{\partial}{\partial\theta'}f\left(x;\theta_{0}\right)dx\\ - & =\int\left[\frac{\partial^{2}}{\partial\theta\partial\theta'}\log f\left(x;\theta_{0}\right)\right]f\left(x;\theta_{0}\right)dx+\int\frac{\partial}{\partial\theta}\log f\left(x;\theta_{0}\right)\frac{\partial f\left(x;\theta_{0}\right)/\partial\theta}{f\left(x;\theta\right)}f\left(x;\theta_{0}\right)dx\\ - & =\int\left[\frac{\partial^{2}}{\partial\theta\partial\theta'}\log f\left(x;\theta_{0}\right)\right]f\left(x;\theta_{0}\right)dx+\int\left[\frac{\partial}{\partial\theta}\log f\left(x;\theta_{0}\right)\frac{\partial}{\partial\theta'}\log f\left(x;\theta_{0}\right)\right]f\left(x;\theta_{0}\right)dx\\ - & =E_{f\left(x;\theta_{0}\right)}\left[\frac{\partial^{2}}{\partial\theta\partial\theta'}\log f\left(x;\theta_{0}\right)\right]+E_{f\left(x;\theta_{0}\right)}\left[\frac{\partial}{\partial\theta}\log f\left(x;\theta_{0}\right)\frac{\partial}{\partial\theta'}\log f\left(x;\theta_{0}\right)\right]\\ +0 & =\int\left[h\left(x;\theta_{0}\right)\right]f\left(x;\theta_{0}\right)dx+\int\left[s\left(x;\theta_{0}\right)\right]\frac{\partial}{\partial\theta'}f\left(x;\theta_{0}\right)dx\\ + & =\int\left[h\left(x;\theta_{0}\right)\right]f\left(x;\theta_{0}\right)dx+\int s\left(x;\theta_{0}\right)\frac{\partial f\left(x;\theta_{0}\right)/\partial\theta}{f\left(x;\theta\right)}f\left(x;\theta_{0}\right)dx\\ + & =\int\left[h\left(x;\theta_{0}\right)\right]f\left(x;\theta_{0}\right)dx+\int\left[s\left(x;\theta_{0}\right)s\left(x;\theta_{0}\right)'\right]f\left(x;\theta_{0}\right)dx\\ + & =E_{f\left(x;\theta_{0}\right)}\left[h\left(x;\theta_{0}\right)\right]+E_{f\left(x;\theta_{0}\right)}\left[s\left(x;\theta_{0}\right)s\left(x;\theta_{0}\right)'\right]\\ & =\mathcal{H}\left(\theta_{0}\right)+\mathcal{I}\left(\theta_{0}\right). \end{align*} @@ -824,7 +832,7 @@ noprefix "false" , \begin_inset Formula \[ -\left(E_{g}\left[\frac{\partial^{2}}{\partial\theta\partial\theta'}\log f\left(x;\theta_{0}\right)\right]\right)^{-1}\mathrm{var}_{g}\left[\frac{\partial}{\partial\theta}\log f\left(x;\theta_{0}\right)\right]\left(E_{g}\left[\frac{\partial^{2}}{\partial\theta\partial\theta'}\log f\left(x;\theta_{0}\right)\right]\right)^{-1}, +\left(E_{g}\left[h\left(x;\theta_{0}\right)\right]\right)^{-1}\mathrm{var}_{g}\left[s\left(x;\theta_{0}\right)\right]\left(E_{g}\left[h\left(x;\theta_{0}\right)\right]\right)^{-1}, \] \end_inset