On Higher-Order Geometric Refinements of Classical Covariance Asymptotics: An Approach via Intrinsic and Extrinsic Information Geometry
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经典协方差渐近的高阶几何精化:内在与外在信息几何方法AI 解读 ↓
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Classical Fisher-information asymptotics describe the covariance of regular efficient estimators through the local quadratic approximation of the log-likelihood, and thus capture first-order geometry only. In curved models, including mixtures, curved exponential families, latent-variable models, and manifold-constrained parameter spaces, finite-sample behavior can deviate systematically from these predictions. We develop a coordinate-invariant, curvature-aware refinement by viewing a regular parametric family as a Riemannian manifold \((Θ,g)\) with Fisher--Rao metric, immersed in \(L^2(μ)\) through the square-root density map. Under suitable regularity and moment assumptions, we derive an \(n^{-2}\) correction to the leading \(n^{-1}I(θ)^{-1}\) covariance term for score-root, first-order efficient estimators. The correction is governed by a tensor \(P_{ij}\) that decomposes canonically into three parts, an intrinsic Ricci-type contraction of the Fisher--Rao curvature tensor, an extrinsic Gram-type contraction of the second fundamental form, and a Hellinger discrepancy tensor encoding higher-order probabilistic information not determined by immersion geometry alone. The extrinsic term is positive semidefinite, the full correction is invariant under smooth reparameterization, and it vanishes identically for full exponential families. We then extend the picture to singular models, where Fisher information degenerates. Using resolution of singularities under an additive normal crossing assumption, we describe the resolved metric, the role of the real log canonical threshold in learning rates and posterior mean-squared error, and a curvature-based covariance expansion on the resolved space that recovers the regular theory as a special case. This framework also suggests geometric diagnostics of weak identifiability and curvature-aware principles for regularization and optimization.
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基于惩罚样条与狄利克雷过程混合的贝叶斯非参数工具变量回归
We propose a Bayesian nonparametric instrumental variable approach under additive separability that allows us to correct for endogeneity bias in regression models where the covariate effects enter with unknown functional form. Bias correction relies on a simultaneous equations specification with flexible modeling of the joint error distribution implemented via a Dirichlet process mixture prior. Both the structural and instrumental variable equation are specified in terms of…
非参数条件矩限制模型的后验一致性
This paper addresses the estimation of the nonparametric conditional moment restricted model that involves an infinite-dimensional parameter g0. We estimate it in a quasi-Bayesian way, based on the limited information likelihood, and investigate the impact of three types of priors on the posterior consistency: (i) truncated prior (priors supported on a bounded set), (ii) thin-tail prior (a prior that has very thin tail outside a growing bounded set) and (iii) normal prior…