Estimation of the Parameters in an Expanding Dynamic Network Model

Abstract

In this paper, we consider an expanding sparse dynamic network model where the time evolution is governed by a Markovian structure. Transition of the network from time t to t + 1 involves three components where a new node joins the existing network, some of the existing edges drop out, and new edges are formed with the incoming node. We consider long term behavior of the network density and establish its limit. We also study asymptotic distributions of the maximum likelihood estimators of key model parameters. We report results from a simulation study to investigate finite sample properties of the estimators.

Appendices

Appendix A: Proofs

For proving the asymptotic distributions of the MLEs, we will make use of a version of the martingale Central Limit Theorem, which is stated here for completeness. For each T ≥ 1, let $\{Y_{iT}, {\mathcal F}_{iT}\}_{i=1}^{T}$ be a martingale difference array (MDA), i.e., ${\mathcal F}_{1T}\subset {\mathcal F}_{2T}\subset \ldots \subset {\mathcal F}_{TT}$ are σ-fields such that Y_iT is measurable with respect to ${\mathcal F}_{iT}$ for every i = 1,…,T and $E(Y_{iT}| {\mathcal F}_{i-1,T})=0$ for all i = 1,…,T. Then, under some conditions, ${\sum }_{i=1}^{T} Y_{iT}$ converges to a normal limit:

Lemma A.1.

Let $\{Y_{iT}, {\mathcal F}_{iT}\}_{i=1}^{T}$ be an MDA such that

$$ {\sum}_{i=1}^{T} E (Y_{iT}^{2}| {\mathcal F}_{i-1,T} ){\rightarrow}_{p} \sigma^{2} $$

(A.1)

for some constant $\sigma ^{2}\in (0,\infty )$ and that

(A.2)

for all 𝜖 > 0. Then, ${\sum }_{i=1}^{T} Y_{iT} {\rightarrow }^{d} N(0,\sigma ^{2})$.

For a proof, see Theorem 16.1.1 of Athreya and Lahiri (2006). Note that condition Eq. A.2 holds trivially if

$$ {\sum}_{i=1}^{T} E (Y_{iT}^{4} | {\mathcal F}_{i-1,T} ){\rightarrow}_{p} 0. $$

(A.3)

Condition Eq. A.3 is often referred to as Lyapounov’s condition which is what we will use in the proof of Theorem 3.2 in Section 6.2 below.

We now start with the proof of Theorem 3.1.

A.1: Proof of Theorem 3.1: Behavior of the Network Density

Proof Proof of (i):.

Let L_t be the total edges at time t and let the expected edges at time t be denoted by l_t = E(L_t). Note that conditional on the history up to time t, at time t + 1, the expected number of edges that survives is L_tκ_t+ 1p and the expected number of new edges that will form among the vertices in V_t where there was no edge at time t is $\big (\frac {n_{t}(n_{t}-1)}{2} - L_{t}\big )\kappa _{t+1}q$. As for the new incoming node, there are n_t-many possible pairings of nodes and hence, the expected number of new edges connecting the new node to the network is n_tκ_t+ 1a. Thus, the expected total edges at time t + 1 is

$$ \begin{array}{@{}rcl@{}} l_{t+1} &=& \mathrm{E}(L_{t+1})\\ &=& \mathrm{E}\big[\mathrm{E}(L_{t+1}|L_{t})\big]\\ &=& \mathrm{E}\Big\{L_{t}\kappa_{t+1}p + \Big[\frac{n_{t}(n_{t}-1)}{2} - L_{t}\Big]\kappa_{t+1}q + n_{t}\kappa_{t+1}a\Big\}\\ &=& \mathrm{E}(L_{t})\kappa_{t+1}(p-q) + \frac{n_{t}(n_{t}-1)\kappa_{t+1}}{2}q + n_{t}\kappa_{t+1}a\\ &=& l_{t}\kappa_{t+1}(p-q) + \frac{n_{t}(n_{t}-1)\kappa_{t+1}}{2}q + n_{t}\kappa_{t+1}a. \end{array} $$

Note that $\frac {n_{t}(n_{t}-1)}{2}$ is the potential edge number at time t. According to the definition of network density ${\varrho }_{t} = \frac {2L_{t}}{n_{t}(n_{t}-1)}$, the above equation can be rewritten as:

$$ \frac{n_{t}(n_{t}+1)}{n_{t}(n_{t}-1)}\frac{\rho_{t+1}}{\kappa_{t+1}} = \rho_{t}(p-q) + q + \frac{2n_{t}}{n_{t}(n_{t}-1)}a, $$

(A.4)

where ρ_t = E(ϱ_t) is the expected network density. Taking the limit on both side of the Eq. A.4, we conclude that

$$ \lim_{t\rightarrow\infty} \frac{\rho_{t}}{\kappa_{t}} = q. $$

Note that we assumed:

• 1. the network is going to be sparse, which leads to $\lim _{t\rightarrow \infty } \rho _{t} = 0$;

• 2. the network size is growing large, which leads to $\lim _{t\rightarrow \infty } n_{t} = \infty$.

□

Proof Proof of (ii):.

Next we consider the limit of the variance of ϱ_t. Note that

$$ \begin{array}{@{}rcl@{}} {\text{Var}}({\varrho}_{t+1}) &=& \frac{4}{{n_{t}^{2}}(n_{t}+1)^{2}} {\text{Var}}(L_{t+1})\\ &=& \frac{4}{{n_{t}^{2}}(n_{t}+1)^{2}} \big[\mathrm{E}({\text{Var}}(L_{t+1}|L_{t})) + {\text{Var}}(\mathrm{E}(L_{t+1}|L_{t}))\big], \end{array} $$

and

$$ \begin{array}{@{}rcl@{}} \mathrm{E}({\text{Var}}(L_{t+1}|L_{t})) &=& \mathrm{E}\Big[\kappa_{t+1}p(1-\kappa_{t+1}p)L_{t} + \kappa_{t+1}q(1-\kappa_{t+1}q)\Big(\frac{n_{t}(n_{t}-1)}{2} - L_{t}\Big)\\ &&+ \kappa_{t+1}a(1-\kappa_{t+1}a)n_{t}\Big]\\ &=& \mathrm{E}(L_{t})\big[\kappa_{t+1}p(1-\kappa_{t+1}p) - \kappa_{t+1}q(1-\kappa_{t+1}q)\big] \\ &&+ \kappa_{t+1}q(1-\kappa_{t+1}q)\frac{n_{t}(n_{t}-1)}{2} + \kappa_{t+1}a(1-\kappa_{t+1}a)n_{t},\\ {\text{Var}}(E(L_{t+1}|L_{t})) &=& {\text{Var}}\Big[L_{t}\kappa_{t+1}p + \Big(\frac{n_{t}(n_{t}-1)}{2} - L_{t}\Big)\kappa_{t+1}q + n_{t}\kappa_{t+1}a\Big]\\ &= &{\text{Var}}(L_{t})\kappa_{t+1}^{2}(p - q)^{2}. \end{array} $$

Thus,

$$ \begin{array}{@{}rcl@{}} {\text{Var}}\Big(\frac{{\varrho}_{t+1}}{\kappa_{t+1}}\Big) &=& \frac{4}{{n_{t}^{2}}(n_{t}+1)^{2}\kappa_{t+1}^{2}}\Big\{\mathrm{E}(L_{t})\big[\kappa_{t+1}p(1-\kappa_{t+1}p) - \kappa_{t+1}q(1-\kappa_{t+1}q)\big] \\ & &+ \kappa_{t+1}q(1-\kappa_{t+1}q)\frac{n_{t}(n_{t}-1)}{2} + \kappa_{t+1}a(1-\kappa_{t+1}a)n_{t} \\ & &+ {\text{Var}}(L_{t})\kappa_{t+1}^{2}(p - q)^{2}\Big\}\\[.1in] &=& \frac{2(n_{t}-1)}{n_{t}(n_{t}+1)^{2}\kappa_{t+1}}\mathrm{E}({\varrho}_{t})\big[p(1 - \kappa_{t+1}p) - q(1 - \kappa_{t+1}q)\big] + \frac{2(n_{t}-1)}{n_{t}(n_{t} + 1)^{2}\kappa_{t+1}}q(1 - \kappa_{t+1}q) \\ &&+ \frac{4}{n_{t}(n_{t}+1)^{2}\kappa_{t+1}}a(1-\kappa_{t+1}a) + \frac{(n_{t}-1)^{2}}{(n_{t}+1)^{2}}{\text{Var}}\Big(\frac{{\varrho}_{t}}{\kappa_{t}}\Big){\kappa_{t}^{2}}(p - q)^{2}. \end{array} $$

Taking the ‘$\limsup$’ on both sides, we have

$$ \limsup_{t\rightarrow \infty}{\text{Var}}\Big(\frac{{\varrho}_{t+1}}{\kappa_{t+1}}\Big) = (p - q)^{2} \limsup_{t\rightarrow \infty}{\text{Var}}\Big(\frac{{\varrho}_{t}}{\kappa_{t}}\Big){\kappa_{t}^{2}}. $$

Hence, it follows that

$$ \lim_{t\rightarrow \infty}{\text{Var}}\Big(\frac{{\varrho}_{t}}{\kappa_{t}}\Big) = 0. $$

Note that the above conclusion is based on the requirement of κ_t = t^−γ, 0 < γ. □

Proof Proof of (iii):.

Follows from parts (i) and (ii) and Chebychev’s inequality. □

A.2: Proof of Theorem 3.2: Asymptotic Normality of the MLEs

Since the proofs of Eqs. 5 and 6 are quite similar to that of Eq. 4, we only prove for Eq. 4 here. Equation 3 can be written as

$$ {\sum}_{t=1}^{T} {\sum}_{i<j,i,j\in V_{t-1}} \psi_{t}(X^{t}|X^{t-1}, k_{t}, \hat{p}) = 0 $$

where

$$ \psi_{t}(X^{t}|X^{t-1}, k_{t}, p) = x_{ij}^{t-1} \frac{x_{ij}^{t} - \kappa_{t}p}{1-\kappa_{t}p}. $$

Suppose at some p, ${\sum }_{t=1}^{T} {\sum }_{i<j} \psi _{t}(X^{t}|X^{t-1}, k_{t}, p) = 0$. Then,

$$ \begin{array}{@{}rcl@{}} 0 &=& {\sum}_{t=1}^{T} {\sum}_{i<j,i,j\in V_{t-1}} \psi_{t}(X^{t}|X^{t-1}, k_{t}, \hat{p}) \\ &=& {\sum}_{t=1}^{T} {\sum}_{i<j,i,j\in V_{t-1}} \psi_{t}(X^{t}|X^{t-1}, k_{t}, p) + (\hat{p}-p){\sum}_{t=1}^{T} {\sum}_{i<j,i,j\in V_{t-1}} \psi^{\prime}_{t}(X^{t}|X^{t-1}, k_{t}, p)\\ &&+\frac{(\hat{p}-p)^{2}}{2}{\sum}_{t=1}^{T} {\sum}_{i<j,i,j\in V_{t-1}} \psi^{\prime\prime}_{t}(X^{t}|X^{t-1}, k_{t}, p)\\ &=& I_{1T} + (\hat{p}-p)I_{2T} + \frac{(\hat{p}-p)^{2}}{2}R_{T}. \end{array} $$

(A.5)

A.2.1: Asymptotic Normality of I _1T

Recall that

$$ I_{1T} = {\sum}_{t=1}^{T} {\sum}_{i<j,i,j\in V_{t-1}} \psi_{t}(X^{t}|X^{t-1}, k_{t}, p) = {\sum}_{t=1}^{T}Z_{t}. $$

Now, we will show the asymptotic normality of I_1n following Lemma A.1. Recall that $\mathcal {F}_{a} = \sigma \langle X^{t}: t\le a\rangle , ~ 0 \le a < \infty$. First, we will show that Z_t is a martingale difference array (MDA). Using the fact that $X_{ij}^{t}$ is a {0,1}-valued random variable, we have

$$ \begin{array}{@{}rcl@{}} \mathrm{E}(Z_{t}| \mathcal{F}_{t-1}) &=& \mathrm{E}\left( {\sum}_{i<j,i,j\in V_{t-1}} \frac{X_{ij}^{t-1}(X_{ij}^{t}-p\kappa_{t})}{1-\kappa_{t}p}\Big| X^{t-1}\right) \\ &=& {\sum}_{i<j,i,j\in V_{t-1}} \frac{X_{ij}^{t-1} \mathrm{E}\big(X_{ij}^{t}-p\kappa_{t}\big| X^{t-1}\big)}{1-\kappa_{t}p} \\ &=& {\sum}_{i<j,i,j\in V_{t-1}} \frac{X_{ij}^{t-1}\big(X_{ij}^{t-1}\kappa_{t}p + (1-X_{ij}^{t-1})\kappa_{t}q - \kappa_{t}p\big)}{1-\kappa_{t}p} \\ &=& {\sum}_{i<j,i,j\in V_{t-1}} \frac{X_{ij}^{t-1} \big(X_{ij}^{t-1}\kappa_{t}p-\kappa_{t}p\big)}{1-\kappa_{t}p} \\ &=& 0, \end{array} $$

followed by $X_{ij}^{t-1} = (X_{ij}^{t-1})^{2}$. Next consider $\mathrm {E}({Z_{t}^{2}}| \mathcal {F}_{t-1})$.

$$ \begin{array}{@{}rcl@{}} \mathrm{E}({Z_{t}^{2}}| \mathcal{F}_{t-1}) &=& \mathrm{E}\bigg(\bigg[\frac{{\sum}_{i<j,i,j\in V_{t-1}} X_{ij}^{t-1}(X_{ij}^{t}-p\kappa_{t})}{1-\kappa_{t}p}\bigg]^{2} \bigg| X^{t-1}\bigg) \\ &=& {\sum}_{i<j,i,j\in V_{t-1}} \bigg(\frac{X_{ij}^{t-1}}{1-\kappa_{t}p}\bigg)^{2} \mathrm{E}\big[(X_{ij}^{t}-p\kappa_{t})^{2}\big| X^{t-1}\big] \\ &&+ {\sum}_{i<j}{\sum}_{k<l,(k,l)\neq (i,j)} \frac{X_{ij}^{t-1}X_{kl}^{t-1}}{(1-\kappa_{t}p)^{2}} \mathrm{E}\big[(X_{ij}^{t}-p\kappa_{t})(X_{kl}^{t}-p\kappa_{t})\big| X^{t-1}\big] \\ &=& \text{I} + \text{II}. \end{array} $$

First,

$$ \begin{array}{@{}rcl@{}} \text{I} &=& {\sum}_{i<j,i,j\in V_{t-1}} \bigg(\frac{X_{ij}^{t-1}}{1-\kappa_{t}p}\bigg)^{2} \mathrm{E}\big[(X_{ij}^{t})^{2}-2\kappa_{t}pX_{ij}^{t} + {\kappa_{t}^{2}}p^{2}\big| X^{t-1}\big] \\ &=& {\sum}_{i<j,i,j\in V_{t-1}} \frac{X_{ij}^{t-1}}{(1-\kappa_{t}p)^{2}} \mathrm{E}\big[(1-2\kappa_{t}p)X_{ij}^{t} + {\kappa_{t}^{2}}p^{2}\big| X^{t-1}\big] \\ &=& {\sum}_{i<j,i,j\in V_{t-1}} \frac{X_{ij}^{t-1}}{(1-\kappa_{t}p)^{2}} \big[(1-2\kappa_{t}p)(X_{ij}^{t-1}\kappa_{t}p + (1-X_{ij}^{t-1})\kappa_{t}q) + {\kappa_{t}^{2}}p^{2}\big] \\ &=& {\sum}_{i<j,i,j\in V_{t-1}} \frac{X_{ij}^{t-1}}{(1-\kappa_{t}p)^{2}}(1-\kappa_{t}p)\kappa_{t}p\\ &=& \frac{\kappa_{t}p}{1-\kappa_{t}p}L_{t-1}, \end{array} $$

where L_t is the number of edges at time t. Second,

$$ \begin{array}{@{}rcl@{}} \text{II} &=& {\sum}_{i<j,i,j\in V_{t-1}}{\sum}_{k<l,k,l\in V_{t-1},(k,l)\neq (i,j)} \frac{X_{ij}^{t-1}X_{kl}^{t-1}}{(1-\kappa_{t}p)^{2}} \mathrm{E}(X_{ij}^{t}-\kappa_{t}p|X^{t-1})\mathrm{E}(X_{kl}^{t}-\kappa_{t}p| X^{t-1})\\ &=& {\sum}_{i,j}{\sum}_{k,l} \frac{X_{ij}^{t-1}\big[X_{ij}^{t-1}\kappa_{t}p + (1-X_{ij}^{t-1})\kappa_{t}q - \kappa_{t}p\big]X_{kl}^{t-1}\big[X_{kl}^{t-1}\kappa_{t}p + (1-X_{kl}^{t-1})\kappa_{t}q - \kappa_{t}p\big]}{(1-\kappa_{t}p)^{2}}\\ &=& {\sum}_{i,j}{\sum}_{k,l} \frac{\big[X_{ij}^{t-1}\kappa_{t}p -X_{ij}^{t-1}\kappa_{t}p\big]\big[X_{kl}^{t-1}\kappa_{t}p - X_{kl}^{t-1}\kappa_{t}p\big]}{(1-\kappa_{t}p)^{2}}\\ &=& 0. \end{array} $$

Thus,

$$ \mathrm{E}({Z_{t}^{2}}| \mathcal{F}_{t-1}) = \frac{\kappa_{t}p}{1-\kappa_{t}p}L_{t-1}. $$

By Theorem 3.1, we have

$$ \begin{array}{@{}rcl@{}} {\sum}_{t=1}^{T}\mathrm{E}({Z_{t}^{2}}| \mathcal{F}_{t-1}) &=& {\sum}_{t=1}^{T} \frac{\kappa_{t}p}{1-\kappa_{t}p}L_{t-1}\\ &=& p{\sum}_{t=1}^{T} \frac{n_{t}(n_{t}-1)\kappa_{t}\kappa_{t-1}}{2(1-\kappa_{t}p)}\frac{{\varrho}_{t-1}}{\kappa_{t-1}}\\ &=& p{\sum}_{t=1}^{T} \frac{n_{t}(n_{t}-1)t^{-\gamma}(t-1)^{-\gamma}}{2(1-\kappa_{t}p)}\frac{{\varrho}_{t-1}}{\kappa_{t-1}}\\ &&\sim \frac{{c_{1}^{2}}pq}{2}{{\int}_{0}^{T}}x^{2(1-\gamma)}\text{d}x \\ &&\sim \frac{{c_{1}^{2}}pq}{2}\frac{T^{3-2\gamma}}{3-2\gamma}, \text{ where } \kappa_{t}\sim c_{1}t^{-\gamma}. \end{array} $$

Here, 3 − 2γ > 0, i.e. γ < 3/2 is required. Therefore, if Lyapunov’s condition hold,

$$ \frac{I_{1T}}{\sigma_{T}} \stackrel{d}{\longrightarrow} N(0, 1), \text{ where } {\sigma_{T}^{2}} = \frac{{c_{1}^{2}}pqT^{3-2\gamma}}{2(3-2\gamma)}. $$

Now, we verify the Lyapunov’s condition:

$$ \begin{array}{@{}rcl@{}} &&{\sum}_{t=1}^{T} {\mathrm{E}[Z_{t}^{4}}|\mathcal{F}_{t-1}] \\ &=& {\sum}_{t=1}^{T}\mathrm{E}\left( \left[\frac{{\sum}_{i<j,i,j\in V_{t-1}} X_{ij}^{t-1}(X_{ij}^{t}-\kappa_{t}p)}{1-\kappa_{t}p}\right]^{4} \Big| X^{t-1}\right) \\ &=& {\sum}_{t=1}^{T}\frac{1}{(1-\kappa_{t}p)^{4}}\left\{{\sum}_{i<j,i,j\in V_{t-1}} (X_{ij}^{t-1})^{4} \mathrm{E}\big[(X_{ij}^{t}-\kappa_{t}p)^{4}\big| X^{t-1}\big]\right. \\ &&+ 4{\sum}_{i<j,i,j\in V_{t-1}}{\sum}_{k<l,k,l\in V_{t-1},(k,l)\neq (i,j)} (X_{ij}^{t-1})^{3}X_{kl}^{t-1} \mathrm{E}\big[(X_{ij}^{t}-\kappa_{t}p)^{3}(X_{kl}^{t}-\kappa_{t}p)\big| X^{t-1}\big] \\ &&+ 6{\sum}_{i<j,i,j\in V_{t-1}}{\sum}_{k<l,k,l\in V_{t-1},(k,l)\neq (i,j)} (X_{ij}^{t-1})^{2}(X_{kl}^{t-1})^{2} \mathrm{E}\big[(X_{ij}^{t}-\kappa_{t}p)^{2}(X_{kl}^{t}-\kappa_{t}p)^{2}\big| X^{t-1}\big] \\ &&+ {\sum}_{(i,j)}^{*}{\sum}_{(k,l)}^{*}{\sum}_{(m,n)}^{*}{\sum}_{(r,s)}^{*} X_{ij}^{t-1}X_{kl}^{t-1}X_{mn}^{t-1}X_{rs}^{t-1}\times \\ &&\ \left. \mathrm{E}\big[(X_{ij}^{t}-\kappa_{t}p)(X_{kl}^{t}-\kappa_{t}p)(X_{mn}^{t}-\kappa_{t}p)(X_{rs}^{t}-\kappa_{t}p)\big| X^{t-1}\big]\right\} \\ &\equiv& {\sum}_{t=1}^{T}\frac{1}{(1-\kappa_{t}p)^{4}}(\text{I} + 8\text{II} + 6\text{III} + \text{IV}), \end{array} $$

where part IV is the summations are over all distinct node-pairs at time t − 1. Due to the independence of the edges and the conditional expectation that $X_{ij}^{t-1}\mathrm {E}[(X_{ij}^{t}-p)|X^{t-1}] = 0$, it is easy to show that II = 0,IV = 0.

Since we assume that a single node joins the network at a time, n_t = n₀ + t. To analyze I, using the technique of enlarging and reducing, we have

$$ \begin{array}{@{}rcl@{}} \text{I} &=& {\sum}_{i<j,i,j\in V_{t-1}} (X_{ij}^{t-1})^{4} \mathrm{E}[(X_{ij}^{t}-\kappa_{t}p)^{4}| X^{t-1}] \\ &=& {\sum}_{i<j,i,j\in V_{t-1}} X_{ij}^{t-1} \mathrm{E}\big[X_{ij}^{t} - 3\kappa_{t}pX_{ij}^{t} + 4{\kappa_{t}^{2}}p^{2}X_{ij}^{t} - 3{\kappa_{t}^{3}}p^{3}X_{ij}^{t} + {\kappa_{t}^{4}}p^{4}\big| X^{t-1}\big] \\ &=& {\sum}_{i<j,i,j\in V_{t-1}} X_{ij}^{t-1}(\kappa_{t}p - 3{\kappa_{t}^{2}}p^{2} + 4{\kappa_{t}^{3}}p^{3} - 3{\kappa_{t}^{4}}p^{4} + {\kappa_{t}^{4}}p^{4}) \\ &=& L_{t-1}(\kappa_{t}p - 3{\kappa_{t}^{2}}p^{2} + 4{\kappa_{t}^{3}}p^{3} - 2{\kappa_{t}^{4}}p^{4}). \end{array} $$

For part III, using similar technique, we have

$$ \begin{array}{@{}rcl@{}} \text{III} &=& {\sum}_{i<j,i,j\in V_{t-1}}{\sum}_{k<l,k,l\in V_{t-1},(k,l)\neq (i,j)} (X_{ij}^{t-1})^{2}(X_{kl}^{t-1})^{2} \mathrm{E}\big[(X_{ij}^{t}-\kappa_{t}p)^{2}(X_{kl}^{t}-\kappa_{t}p)^{2}\big| X^{t-1}\big] \\ &= &{\sum}_{i<j,i,j\in V_{t-1}}{\sum}_{k<l,k,l\in V_{t-1},(k,l)\neq (i,j)} X_{ij}^{t-1}X_{kl}^{t-1} \mathrm{E}\big[(X_{ij}^{t} - \kappa_{t}p)^{2}\big| X^{t-1}\big]\mathrm{E}\big[(X_{kl}^{t}-\kappa_{t}p)^{2}\big| X^{t-1}\big] \\ &=& {\sum}_{i<j,i,j\in V_{t-1}}{\sum}_{k<l,k,l\in V_{t-1},(k,l)\neq (i,j)} X_{ij}^{t-1}\kappa_{t}p(1-\kappa_{t}p) X_{kl}^{t-1}\kappa_{t}p(1-\kappa_{t}p)\\ &=& L_{t-1}^{2}{\kappa_{t}^{2}}p^{2}(1-\kappa_{t}p)^{2}. \end{array} $$

Thus

$$ \begin{array}{@{}rcl@{}} \sum\limits_{t=1}^{T} {\mathrm{E}[Z_{t}^{4}}|\mathcal{F}_{t-1}] &=& \sum\limits_{t=1}^{T} \frac{1}{(1-\kappa_{t}p)^{4}}\big[L_{t-1}(\kappa_{t}p - 3{\kappa_{t}^{2}}p^{2} + 4{\kappa_{t}^{3}}p^{3} - 2{\kappa_{t}^{4}}p^{4}) + L_{t-1}^{2}{\kappa_{t}^{2}}p^{2}(1-\kappa_{t}p)^{2}\big] \\ &&\sim \sum\limits_{t=1}^{T} \bigg\{\frac{n_{t}(n_{t}-1)}{2(1-\kappa_{t}p)^{4}}\frac{{\varrho}_{t-1}}{\kappa_{t-1}}\kappa_{t-1}\kappa_{t}p + \frac{{n_{t}^{2}}(n_{t}-1)^{2}}{4(1-\kappa_{t}p)^{2}}\bigg(\frac{{\varrho}_{t-1}}{\kappa_{t-1}}\bigg)^{2}\kappa_{t-1}^{2}{\kappa_{t}^{2}}p^{2}\bigg\} \\ &&\sim \sum\limits_{t=1}^{T} \frac{t^{2-2\gamma}pq}{2} + \sum\limits_{t=1}^{T}\bigg\{\frac{t^{2-2\gamma}pq}{2}\bigg\}^{2}\\ &&\sim \frac{{c_{1}^{2}}pq}{2}{{\int}_{0}^{T}}x^{2(1-\gamma)}\text{d}x + \frac{{c_{1}^{4}}p^{2}q^{2}}{4}{{\int}_{0}^{T}}x^{4(1-\gamma)}\text{d}x \\ &&\sim \frac{{c_{1}^{2}}pq}{2}\frac{T^{3-2\gamma}}{3-2\gamma} + \frac{{c_{1}^{4}}p^{2}q^{2}}{4}\frac{T^{5-4\gamma}}{5-4\gamma}, \text{ where } \kappa_{t}\sim c_{1}t^{-\gamma}. \end{array} $$

As a result,

$$ \frac{1}{{\sigma_{T}^{4}}} \sum\limits_{t=1}^{T} {\mathrm{E}[Z_{t}^{4}}|\mathcal{F}_{t-1}] \rightarrow 0,\text{\ as\ } T \rightarrow \infty. $$

Therefore, the Lyapunov’s condition is verified. Hence, by Martingale CLT, we have

$$ \frac{I_{1T}}{\sigma_{T}} \stackrel{d}{\longrightarrow} N(0, 1), \text{ where } {\sigma_{T}^{2}} = \frac{{c_{1}^{2}}pqT^{3-2\gamma}}{2(3-2\gamma)}. $$

A.2.2: Analysis of I _2T

Next,

$$ I_{2T} = \sum\limits_{t=1}^{T} \sum\limits_{i<j,i,j\in V_{t-1}} \psi^{\prime}_{t}(X^{t}|X^{t-1}, k_{t}, p) = \sum\limits_{t=1}^{T} \sum\limits_{i<j,i,j\in V_{t-1}}\frac{X^{t-1}(X^{t}-1)\kappa_{t}}{(1-\kappa_{t}p)^{2}} = \sum\limits_{t=1}^{T} W_{t}. $$

The conditional expectation is,

$$ \begin{array}{@{}rcl@{}} \mathrm{E}(W_{t}| \mathcal{F}_{t-1}) &=& \mathrm{E}\bigg(\sum\limits_{i<j,i,j\in V_{t-1}} \frac{X_{ij}^{t-1}(X_{ij}^{t}-1)\kappa_{t}}{(1-\kappa_{t}p)^{2}}\bigg| X^{t-1}\bigg) \\ &=& \sum\limits_{i<j,i,j\in V_{t-1}} \frac{X_{ij}^{t-1}\kappa_{t} \mathrm{E}\big(X_{ij}^{t}-1\big|X^{t-1}\big)}{(1-\kappa_{t}p)^{2}} \\ &=& \sum\limits_{i<j,i,j\in V_{t-1}} \frac{X_{ij}^{t-1}\kappa_{t}\big(X_{ij}^{t-1}\kappa_{t}p + (1-X_{ij}^{t-1})\kappa_{t}q - 1\big)}{(1-\kappa_{t}p)^{2}} \\ &=& -\sum\limits_{i<j,i,j\in V_{t-1}} \frac{X_{ij}^{t-1}\kappa_{t} }{(1-\kappa_{t}p)}\\ &=& -\frac{L_{t-1}\kappa_{t} }{(1-\kappa_{t}p)}. \end{array} $$

Thus, let $I^{*}_{2T} = {\sum }_{t=1}^{T}\mathrm {E}(W_{t}| \mathcal {F}_{t-1})$,

$$ \begin{array}{@{}rcl@{}} I^{*}_{2T} &=& \sum\limits_{t=1}^{T}-\frac{L_{t-1}\kappa_{t}}{(1-\kappa_{t}p)}\\ &=& \sum\limits_{t=1}^{T}-\frac{n_{t}(n_{t}-1)\kappa_{t}\kappa_{t-1}}{2(1-\kappa_{t}p)}\frac{{\varrho}_{t-1}}{\kappa_{t-1}}\\ &&\sim \frac{{c_{1}^{2}}qT^{3-2\gamma}}{2(3-2\gamma)}. \end{array} $$

Now we need to show $I_{2n}/I_{2n}^{*} {\rightarrow }_{p} 1$.

$$ {\text{Var}}(W_{t}) = \mathrm{E}\big({\text{Var}}(W_{t}|\mathcal{F}_{t-1})\big) + {\text{Var}}\big(\mathrm{E}(W_{t}|\mathcal{F}_{t-1})\big) $$

and

$$ \begin{array}{@{}rcl@{}} \mathrm{E}\big({\text{Var}}(W_{t}|\mathcal{F}_{t-1})\big) &=& \mathrm{E}\bigg[{\text{Var}}\bigg(\sum\limits_{i<j,i,j\in V_{t-1}} \frac{X_{ij}^{t-1}(X_{ij}^{t}-1)\kappa_{t}}{(1-\kappa_{t}p)^{2}}\bigg|\mathcal{F}_{t-1})\bigg)\bigg]\\ &=& \frac{{\kappa_{t}^{2}}}{(1-\kappa_{t}p)^{4}}\mathrm{E}\Big(\sum\limits_{i<j,i,j\in V_{t-1}} X_{ij}^{t-1}{\text{Var}}(X_{ij}^{t}|\mathcal{F}_{t-1})\Big)\\ &=& \frac{{\kappa_{t}^{2}}}{(1-\kappa_{t}p)^{4}}\mathrm{E}\Big(\sum\limits_{i<j,i,j\in V_{t-1}} X_{ij}^{t-1}\kappa_{t}p(1-\kappa_{t}p)\Big) \\ &=& \frac{{\kappa_{t}^{3}}p}{(1-\kappa_{t}p)^{3}}\mathrm{E}(L_{t-1}) \\ &=& \frac{n_{t}(n_{t}-1){\kappa_{t}^{3}}\kappa_{t-1}p}{2(1-\kappa_{t}p)^{3}}\mathrm{E}\Big(\frac{{\varrho}_{t-1}}{\kappa_{t-1}}\Big) \\ &=& O(T^{2-4\gamma}), \\ {\text{Var}}\big(\mathrm{E}(W_{t}|\mathcal{F}_{t-1})\big) &=& {\text{Var}}\bigg(\frac{L_{t-1}\kappa_{t}p}{1-\kappa_{t}p}\bigg)\\ &=& \frac{{\kappa_{t}^{2}}}{(1 - \kappa_{t}q)^{2}}{\text{Var}}(L_{t-1})\\ &=& \frac{{\kappa_{t}^{2}}\kappa^{2}_{t-1}{n_{t}^{2}}(n_{t}-1)^{2}}{4(1 - \kappa_{t}q)^{2}}{\text{Var}}\Big(\frac{{\varrho}_{t-1}}{\kappa_{t-1}}\Big)\\ &=& O(T^{4-4\gamma}). \end{array} $$

Thus,

$$ {\text{Var}}\bigg(\frac{W_{t}}{I^{*}_{2T}}\bigg) = \frac{O(T^{4-4\gamma})}{O(T^{6-4\gamma})} = O(T^{-2}). $$

As a result, we have shown $I_{2n}/I_{2n}^{*} {\rightarrow }_{p} 1$.

A.2.3: Asymptotic Normality of R _T

Then,

$$ R_{T} = \sum\limits_{t=1}^{T} \sum\limits_{i<j,i,j\in V_{t-1}} \psi^{\prime\prime}_{t}(X^{t}|X^{t-1}, k_{t}, p) = \sum\limits_{t=1}^{T} \sum\limits_{i<j,i,j\in V_{t-1}}\frac{2X^{t-1}(X^{t}-1){\kappa_{t}^{2}}}{(1-\kappa_{t}p)^{3}} = \sum\limits_{t=1}^{T} 2Y_{t}. $$

Similarly,

Then,

A.2.4: Final Conclusion of MLE

Reformulate the Eq. A.5, we have

$$ \begin{array}{@{}rcl@{}} \hat{p} - p &=& -\frac{I_{1T}}{I_{2T}} - (\hat{p} - p)^{2}\frac{R_{T}}{I_{2T}} \\ &=& -\frac{I_{1T}}{I^{*}_{2T}(1+O_{p}(1))} - \frac{(\hat{p} - p)^{2}}{2}\frac{O_{p}(E|R_{T}|)}{O_{p}(T^{3-2\gamma})}. \end{array} $$

We have already shown that

$$ \frac{I_{1T}}{\sigma_{T}} \stackrel{d}{\longrightarrow} N(0, 1), \text{ where } {\sigma_{T}^{2}} = \frac{{c_{1}^{2}}pqT^{3-2\gamma}}{2(3-2\gamma)}, $$

and

$$ I^{*}_{2T}\sim \frac{{c_{1}^{2}}qT^{3-2\gamma}}{2(3-2\gamma)}. $$

and

$$ \mathrm{E}|R_{T}| = \begin{cases} O_{p}\bigg(\frac{{c_{1}^{3}}qT^{3-3\gamma}}{3-3\gamma}\bigg) & \text{ if } \gamma<1 \\ O_{p}(\log T) & \text{ if } \gamma=1 \end{cases}. $$

By standard arguments, this implies

$$ \begin{array}{@{}rcl@{}} \alpha_{T} (\hat{p} - p) &=& -\frac{(I_{1T}/\sigma_{T})\alpha_{T}}{(I^{*}_{2T}/\sigma_{T})(1+O_{p}(1))} - \frac{(\hat{p} - p)^{2}}{2}\frac{O_{p}(E|R_{T}|)}{O_{p}(T^{3-2\gamma})}\\ &&\underset{\rightarrow}{d} N(0, \tau^{2}) \end{array} $$

where α_T = T^{(3 − 2γ)/2}.

$$ \begin{array}{@{}rcl@{}} \tau &=&\lim_{T\rightarrow\infty} \frac{\alpha_{T}\sigma_{T}}{I^{*}_{2T}}\\ &=& \lim_{T\rightarrow\infty} T^{(3-2\gamma)/2}\bigg(\frac{{c_{1}^{2}}pqT^{3-2\gamma}}{2(3-2\gamma)}\bigg)^{1/2}\frac{2(3-2\gamma)}{{c_{1}^{2}}qT^{3-2\gamma}}\\ &=& \sqrt{\frac{2(3-2\gamma)}{{c_{1}^{2}}}\frac{p}{q}}. \end{array} $$