Paper 4 , Section II, J

Principles of Statistics | Part II, 2020

Consider X1,…,XnX_{1}, \ldots, X_{n} drawn from a statistical model {f(⋅,θ):θ∈Θ},Θ=Rp\{f(\cdot, \theta): \theta \in \Theta\}, \Theta=\mathbb{R}^{p}, with non-singular Fisher information matrix I(θ)I(\theta). For θ0∈Θ,h∈Rp\theta_{0} \in \Theta, h \in \mathbb{R}^{p}, define likelihood ratios

Zn(h)=log⁡∏i=1nf(Xi,θ0+h/n)∏i=1nf(Xi,θ0),Xi∼i.i.d.f(⋅,θ0)Z_{n}(h)=\log \frac{\prod_{i=1}^{n} f\left(X_{i}, \theta_{0}+h / \sqrt{n}\right)}{\prod_{i=1}^{n} f\left(X_{i}, \theta_{0}\right)}, \quad X_{i} \sim^{i . i . d .} f\left(\cdot, \theta_{0}\right)

Next consider the probability density functions (ph:h∈Rp)\left(p_{h}: h \in \mathbb{R}^{p}\right) of normal distributions N(h,I(θ0)−1)N\left(h, I\left(\theta_{0}\right)^{-1}\right) with corresponding likelihood ratios given by

Z(h)=log⁡ph(X)p0(X),X∼p0.Z(h)=\log \frac{p_{h}(X)}{p_{0}(X)}, \quad X \sim p_{0} .

Show that for every fixed h∈Rph \in \mathbb{R}^{p}, the random variables Zn(h)Z_{n}(h) converge in distribution as n→∞n \rightarrow \infty to Z(h).Z(h) .

[You may assume suitable regularity conditions of the model {f(⋅,θ):θ∈Θ}\{f(\cdot, \theta): \theta \in \Theta\} without specification, and results on uniform laws of large numbers from lectures can be used without proof.]

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