Summary
Let (Ω,A) be a measurable space, let Θ be an open set inR k, and let {P θ; θ∈Θ} be a family of probability measures defined onA. Let μ be a σ-finite measure onA, and assume thatP θ≪μ for each θ∈Θ. Let us denote a specified version ofdP θ /d μ byf(ω; θ).
In many large sample problems in statistics, where a study of the log-likelihood is important, it has been convenient to impose conditions onf(ω; θ) similar to those used by Cramér [2] to establish the consistency and asymptotic normality of maximum likelihood estimates. These are of a purely analytical nature, involving two or three pointwise derivatives of lnf(ω; θ) with respect to θ. Assumptions of this nature do not have any clear probabilistic or statistical interpretation.
In [10], LeCam introduced the concept of differentially asymptotically normal (DAN) families of distributions. One of the basic properties of such a family is the form of the asymptotic expansion, in the probability sense, of the log-likelihoods. Roussas [14] and LeCam [11] give conditions under which certain Markov Processes, and sequences of independent identically distributed random variables, respectively, form DAN families of distributions. In both of these papers one of the basic assumptions is the differentiability in quadratic mean of a certain random function. This seems to be a more appealing type of assumption because of its probabilistic nature.
In this paper, we shall prove a theorem involving differentiability in quadratic mean of random functions. This is done in Section 2. Then, by confining attention to the special case when the random function is that considered by LeCam and Roussas, we will be able to show that the standard conditions of Cramér type are actually stronger than the conditions of LeCam and Roussas in that they imply the existence of the necessary quadratic mean derivative. The relevant discussion is found in Section 3.
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This research was supported by the National Science Foundation, Grant GP-20036.
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Lind, B., Roussas, G. Cramér-type conditions and quadratic mean differentiability. Ann Inst Stat Math 29, 189–201 (1977). https://doi.org/10.1007/BF02532783
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DOI: https://doi.org/10.1007/BF02532783