An elementary account of Amari's expected geometry

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An Elementary Account of Amari's

Expected Geometry

An Elementary Account o

f

Amari’s

Expected

G

eom

e

try

¤

.

Frank Crit

c

hl

e

y

Univ

e

r

s

ity o

f

Birmingham

Paul Marriott

National Univ

e

r

s

ity o

f

Singapor

e

Mark Salmon

City Univ

e

r

s

ity Bu

s

in

e

ss

S

c

hool

July

19

,

1999

Di¤erential geometry has found fruitful application in statistical infe r-ence. In particular, Amari’s(1990) expected geometry isused in higher order asymptoticanalysis,and in thestudy ofsu ¢ciency and ancillarity. However,

we cansee threedrawbacks to theuseof a di¤erential geometricapproach in econometrics andstatistics moregenerally. Firstly, themathematics is unf a-miliar and the terms involvedcan be di ¢cult for the econometrician tofully appreciate. Secondly, their statistical meaning can be less than completely clear, and …nally the fact that, at its core, geometry is a visual subject can beobscured by the mathematical formalism required for a rigorousanalysis,

thereby hindering intuition. All three drawbacks apply particularly to the di¤erential geometric concept of a non metric a ¢ ne connection.

Theprimary objectiveof this paper isto attempt to mitigatethese draw-backs in the caseof Amari’sexpected geometricstructure on afull expone n-tial family. We aim to do this by providing an elementary account of this structure which is clearly based statistically, accessible geometrically and visually presented.

om-Statistically, we use three natural tools: the score function and its …rst two moments with respect to the true distribution. Geometrically, we are largely able to restrict attention to tensors, in particular, we are able to avoid the need to formally de…ne an a ¢ ne connection. To emphasise the visual foundation of geometric analysis we parallel the mathematical deve l-opment with graphical illustrations using important examples of full e xpo-nential families. Although the analysis is not restricted to this case, we emphasise one dimensional examples so that simple pictures can be used to illustrate the underlying geometrical ideas and aid intuition. It turns out that this account alsosheds some new light on the choiceofparametrisation as discussed by Amari (1990), extending earlier work by Bates and Watts

(1980, 1981), Hougaard (1982) and Kass (1984). There are also a number of

points of contact between our presentation and Firth (1993).

A keyfeatureofour account is that allexpectationsand induced dis tribu-tions are taken with respect to one…xed distribution namely, that assumed to give rise to the data. This is the so called preferred point geometrical ap-proach developed in Critchley, Marriott and Salmon (1993, 1994), on whose results we draw where appropriate.

Our hope is that thefolowing development will serve to broaden interest in an important and developing area. For a more formal but still re ad-able treatment of di¤erential geometry, see Dodson and Poston (1977). For broader accounts of the application of di¤erential geometry to statistics see thereview papersor monographsby Barndor¤-Nielsen, Cox and Reid (1986),

Kass (1987, 1989), Amari (1990) and Murray and Rice(1993).

The paper is organised as follows. The elementary prerequisites are es -tablished in Section 2. The key elements of Amari’s expected geometry of

generalfamiliesofdistributionsarebrie‡y and intuitively reviewed in Section

3. In particular, his®-connections are discussed in termsof the characteris -ticstatistical propertiesof their associated a ¢ neparametrisations. The…nal

1

P reliminarie

s.

1

.

1

T he general framework

.

Let

M = fp(x;µ): µ 2 £g

beap-dimensional parametricfamily of probability (density)functions. The available data x = (x1; : : : ;xn)T is modelled as a random sample from some unknown true distribution p(x;Á) 2 M. Let the parameter space £ be an open connected subset of Rp_{. The family M is regarded as a manifold,} with theparameter µ playing the roleofacoordinatesystem on it. Formally,

certain regularityconditionsare entailed. These aredetailed in Amari (1990,

page16).

1

.

2

T he

sc

ore fun

c

tion

.

Thescore function

s(µ;x) = ( @

@µ1 lnp(x;µ); : : : ; @

@µp lnp(x;µ))T

is very natural to work with statistically as it contains precisely all the rele -vant information in the likelihood function. Integrating over £ recovers the log likelihood function, l, up to an additive constant which isindependent of

µ. This is equivalent to the likelihood up to a multiplicative positive factor which may depend on x but not on µ. As discussed by Cox and Hinkley (1974, page12), two di¤erent choices of the constant do not a¤ect the esse n-tial likelihood information, which we refer to as the shape of the likelihood.

Visually, thegraph of thescore function displays theshapeof thelikelihood in a natural and direct way. We use this to advantage later.

Thescorefunction is also a very natural tool to work with geometrically.

An important concept of di¤erential geometry is that of the tangent space.

We can avoid the general abstract de…nition here as we have a concrete representation of this spacein terms of thescorefunction. Regarding x now asa random vector andfollowing Amari (1990),weidentify the tangentspace T Mµ at each …xed p(x;µ) 2 M with the vector space of random variables spanned by

fsi(µ;x) = @

Under the regularity conditions referenced in Section 2.1, this vector space has dimension p, the dimension of M.

1

.

3

D i

s

t ribution of t he

sc

ore ve

c

tor

.

Naturally associated with each …xed tangent space T Mµ is the joint dis tri-bution ½Á_µ of the components of thescore vector s(µ;x). Thismay be known analytically but can always, by the central limit theorem, be approximated asymptotically by themultivariatenormal distribution Np(¹Á(µ);gÁ(µ))where

¹Á_{(µ) = E}

p(x;Á)[s(µ;x)] = nEp(x;Á)[s(µ;x)]

and

gÁ_{(µ) = Cov}

p(x;Á)[s(µ;x)] = nCovp(x;Á)[s(µ;x)]

These last two quantities are statistically natural tools that we shallemploy in our account of Amari’s geometry. The matrix gÁ_{(µ) is assumed to be} always positive de…nite.

Note that, for all Á,

¹Á_{(Á) = 0 and g}Á_{(Á) = I(Á) = ni(Á)}

where I and i denote the Fisher information for thesample and for a single observation respectively.

For later use we de…ne the random vector ²Á_{(µ;x) by the decomposition} s(µ;x) = ¹Á_{(µ) + ²}Á_(µ;x)

so that Ep(x;Á)[²Á(µ;x)] vanishes identically in µ and Á.

In theone dimensional case thereisa particularly useful graphical repre

-sentation of the three tools on which our account is based. For a particular realisation of the data x the plot of the graph of s(µ;x) against µ can give great insight into theshapeof the observed likelihood function. We call this

graph the observed plot. Together with this we use the expected plot. This is

a graph of the truemean score together with an indication of variability. We make extensive use of this graphical method for several important examples

1

.

4

Reparamet ri

s

ation

.

So far, we have worked in a single parametrisation µ. It is important to consider what happens under a reparametrisation.

We consider reparametrisationsµ ! »(µ) that aresmooth and invertible.

De…ne,

B®

i (µ) =

@»®

@µi and B¹®i(») = @µi @»®;

for 1 · i;® · p. By the chain rule, the components of the score vector transform as1-tensors. That is:

s®(»(µ);x) := _@»@l® =

p

X

i= 1

¹

Bi

®(»(µ)) @l

@µi := p

X

i= 1

¹

Bi

®(µ)si(µ;x) (1)

foreach …xedµ. Thisamounts to achangeofbasisfor the vectorspaceT Mµ.

By linearity ofexpectation, the componentsof ¹Á_{(µ)arealso1-tensors. That} is:

¹»(Á)

® (»(µ)) =

p

X

i= 1

¹

Bi

®(µ)¹Ái(µ) (2)

As covariance is a bilinear form, we see that gÁ_{(µ) is a 2-tensor. That is, its} components transform according to:

g_®»(_¯Á)(»(µ)) = p

X

i= 1

p

X

j= 1

¹

Bi

®(µ)B¹j¯(µ)gÁi j(µ) (3)

By symmetry, the assumption of positive de…niteness and since gÁ_{(µ) varies}

smoothly with µ, gÁ_{(µ) ful…ls the requirements of a metric tensor, see Amari} (1990,page25). Itfollowsat once, puttingµ = Á, that the Fisher information alsoenjoys this property.

2 Some element

s

of A mari’

s

expe

c

ted

geom-et ry

.

2

.

1

C onne

c

tion

s.

Formally, Amari’s expected geometry is a triple (M;I; r + 1_{) in which M is a}

family of probability (density) functionsand I the Fisher information metric tensor, as described above. The major di ¢culty in understanding revolves

around thethird component r + 1 _{which isa particular non metrica ¢ ne c}

on-nection. In Section3,weobtain asimple, statistical interpretation ofit in the

full exponential family case. Here we note certain facts concerning connec -tions and Amari’sgeometry, o¤ering intuitive explanations and descriptions

where possible. For a formal treatment, see Amari (1990). We emphasise that such a treatment is not required here, as our later argument proceeds

in terms of the elementary material already presented.

A connection allows us to (covariantly) di¤erentiate tangent vectorsand,

moregenerally, tensors, seeDodson and Poston (1977, Chapter7). A connec -tion thereforedetermineswhichcurvesin a manifoldshall be called ‘geodesic’ or ‘straight’. Generalising familiar Euclidean ideas, these are de…ned to be those curves along which the tangent vector does not change.

A metric tensor inducesin a natural way an associated connection called the Levi-Civita or metric connection. In Amari’s structure the Fisher

in-formation I induces the a ¢ ne connection denoted by r0_{. The Levi-Civita}

connection has the property that its geodesicsare curvesof minimum length joining theirendpoints. Noconcept oflength isassociated with thegeodesics

corresponding to non metric connections.

Amari shows that the two connections r0 _{and r} + 1 _{can be combined to}

producean entireone parameter family f r® _{: ® 2 Rg of connections, called}

the®-connections. The most important connections statistically correspond to ® = 0;§1

3;§1, as we now explain.

2

.

2

C hoi

c

e of paramet ri

s

ation

.

For each of Amari’s connections it can happen that a parametrisation µ of

M exists such that thegeodesic joining thepoints labelled µ1 andµ2 simply consists of the points labelled f(1 ¡ ¸)µ1 + ¸µ2 : 0 · ¸ · 1g. For example,

Cartesian coordinates de…ne such a parametrisation in the Euclidean case.

a ¢ ne, and the parameters are unique up to a ¢ ne equivalence. That is, any two a ¢ ne parametrisations are related by a nonsingular a ¢ ne transf orma-tion. In theimportantspecialcaseofa metric connection M is‡at ifand only if there exists a parametrisationµ in which themetric tensor is independent ofµ.

For aconnection to admit an a ¢ neparametrisation isa ratherspecialc ir-cumstance. When it does, wemay expect thea ¢ ne parametrisation to have correspondingly special properties. This is indeed the case with Amari’s e x-pected geometry. When an ®-connection has this property, the manifold is

called ®-‡at and the associated parametrisations are called ®-a ¢ ne. Amari (1990, Theorem 5.12, page 152), established the followingcharacteristic fe a-tures of certain ®-a ¢ ne parametrisations:

1. ® = 1, corresponds to the natural parameter, µ.

2. ® = 1

3, corresponds to the normal likelihood parameter.

3. ® = 0, gives a constant asymptotic covarianceof the ML E.

4. ® = ¡ 1

3, gives zero asymptoticskewnessof the ML E. 5. ® = ¡1, gives zero asymptotic bias of the ML E.

These correspond to the ± = 0;1

3;12;23;1 parametrisations respectively of

Hougaard (1982), whostudied theonedimensionalcurvedexponentialfamily case. In any one dimensional family an ®-a ¢ ne parameter exists for every

®. A fullexponential family, ofany dimension, is always +1-‡at and ¡1-‡at,

with thenatural and mean valueparametersrespectively being a ¢ ne. Amari (1990) alsoestablished the duality result that M is ®-‡at if and only if it is

¡®-‡at. Thisduality between r® _{and r} ¡® _{hasnicemathematical properties}

3

T he expe

c

ted geomet ry of t he full

expo-nential family

.

3

.

1

Int rodu

c

tion

.

We restrict attention now to the full exponential family. In the natural parametrisation, µ, we have

p(x;µ) = expf p

X

i= 1

ti(x)µi ¡ Ã(µ)g:

The mean value parametrisation is given by ´ = (´1_{; : : : ;´}p_{), where}

´i_{(µ) = E}

p(x;µ)[ti(x)] = @Ã

@µi(µ):

These two parametrisations are therefore a ¢ nely equivalent if and only if à is a quadratic function of µ, as with the case of normal distributions with constant covariance. As we shall see this is a very special circumstance.

In natural parameters, the score function is

si(µ;x) = nft¹i(x) ¡ @Ã

@µi(µ)g = nft¹i(x) ¡ ´i(µ)g (4) where nt¹i(x) = Pnr= 1ti(xr). From (4) we have the useful fact that the maxi-mum likelihood estimator ^´i _{:= ´}i₍^_{µ) = t¹}

i. Further the …rst two moments of the score function under p(x;Á) are given by,

¹Á

i(µ) = nf_@@_µÃi(Á) ¡

@Ã

@µi(µ)g = nf´i(Á) ¡ ´i(µ)g (5)

gÁ

i j(µ) = n

@2_Ã

@µi@µj(Á) = Ii j(Á): (6)

3

.

2

E xample

s.

The following one dimensional examples are used for illustrative purposes: Poisson, Normal withconstant (unit) variance, Exponential and Bernoulli.

quantities,isessentially invariant under independent repeated samples. Our third andfourthexamplesimplicitlycover the Gamma and Binomialfamilies

and together then, these examples embracemost of the distributions widely used in generalised linear models (McCullagh and Nelder, 1989).

The examplesaresummarised algebraically, in Table1, and aredisplayed visually in Figures 1 to4 respectively. Foreach example, for a chosen Á and n shown in Table1, wegiveobserved andexpected plots,both in the natural parametrisationµ and in a non-a ¢ nely equivalent parametrisation»(µ).

Poisson(µ) Normal(µ;1) Exponential(µ) Bernoulli(µ) ( Figure 1) ( Figure 2) ( Figure 3) ( Figure 4)

t(x) x x ¡x x

Ã(µ) eµ 1

2µ2 ¡ lnµ ln(1 + eµ)

s(µ;x) n(x¹ ¡ eµ_{) n(x¹ ¡ µ) n(¡x¹ + µ}¡1_{) n(x¹ ¡ e}µ_{(1 + e}µ₎¡1₎

¹Á_{(µ) n(e}Á _{¡ e}µ_{) n(Á ¡ µ) n(¡Á}¡1 _{+ µ}¡1_{) n} eÁ

1 +eÁ ¡ n e µ

1 +eµ

gÁ_{(µ) ne}Á _{n nÁ}¡2 _neÁ_{(1 + e}Á₎¡2

»(µ) ´(µ) = eµ _µ1_{3 ´(µ) = ¡µ}¡1 _{´(µ) = e}µ_{(1 + e}µ₎¡1

¹

B(µ) »¡1 _3»2 _»¡2 _{(»(1 ¡ »))}¡1

s(»;x) n(x¹ ¡ »)»¡1 _{3n(x¹ ¡ »}3_)»2 _{¡n(x¹ + »)»}¡2 _{n(x¹ ¡ »)(»(1 ¡ »))}¡1

¹»(Á)_{(») n(»(Á) ¡ »)»}¡1 _3n(»3_{(Á) ¡ »}3_)»2 _{n(»(Á) ¡ »)»}¡2 _n(»(Á)¡») (»(1¡»))

g»(Á)_{(») n»(Á)»}¡2 _9n»4 _n»(Á)2_»¡4 _n»(Á)(1¡»(Á)) (»(1¡»))2

Á 0 0 1 0

n 10 10 10 10

INSE RT FIG UR ES 1 to4 H E R E

We take»(µ) to be the mean value parameter ´(µ) except in the normal

case where we take »(µ) = µ13. We use this last parametrisation for illus

-tration only even though it is not invertible at µ = 0. In each case, » is an

increasingfunction ofµ. In the expected plots,weillustrate the…rst two

mo-mentsofthescorefunction under thetruedistribution (that isunderp(x;Á)) by plotting the mean §2standard deviations. In theobserved plots, to give

someidea ofsampling variability, weplot …veobservedscorefunctionscorre

-sponding to the 5%, 25%, 50% 75% and 95% points of the true distribution

of t¹ for the continuous families and the closest observable points to these in

the discrete cases. Recall that these plots precisely contain theshape of the

observed and expected likelihood functions and thus are a direct and visual

representation of important statistical information.

The observed score graphs do not cross since, for each …xed parameter

value, theobserved score function is non decreasing a ¢ nefunction of t¹. This

holds in all parametrisations, using (1). From (1), (2), (4) and (5) it is

clear that, in any parametrisation, thegraph of thetruemeanscore function

coincides with that of theobserved score for data where t(¹ x) equals its true

lnn), Normal(nÁ;n), Gamma(Á;n) and Binomial(n;Á), respectively.

The most striking featureof the plots is the constancy of the varianceof

thescore across the natural parametrisation, and the fact that this property

is lost in the alternative parametrisation. Also remarkable is the linearity of

the normal plots in the natural parametrisation. A close inspection reveals

that for each example, in the natural parametrisation, each of the observed

plots di¤er only by a vertical translation. Again this property will not hold

in a general parametrisation. We use theseand other featuresof theplots to

better understand Amari’s expected geometry.

Certain information isevident from the plots straight away. Under s

tan-dard regularity conditions, the unique maximum likelihood estimate of a

parameter for given data occurs when the graph of the corresponding

ob-served score function crosses the horizontal axis from above. Thus, as t¹ = ^´

in our examples, (even in the degenerate Bernoulli case), these …ve crossing

points are the 5%, 25%, 50%, 75% and 95% percentage points of the true

distribution of the maximum likelihood estimate. The position of these …ve

crossing pointsgives visual information about thisdistribution,in particular,

about its location, variance and skewness.

onedimensional cases, thereis astraightforward visual representation of the

tangent space at each point. T Mµ can be identi…ed with the vertical line

through µ, and ½Á_µ (see Section 2.3) with the distribution of the intersec

-tion of this line with the graph of the observed score function. Identical

remarks apply in any parametrisation. These tangent spaces are shown in

both parametrisations, at the above …ve percentage points of the maximum

likelihood estimator, aslines in theobserved plots and asvertical barsin the

expected plots.

In the observed plot, the …ve intersection points with any given tangent

space T Mµ, are the …ve corresponding percentage points of ½_µÁ. The same is

true in any increasing reparametrisation ». Thus, comparing the position of

these …ve intersection points at corresponding parameter values in the two

observed plots gives direct visual information on the di¤erence between ½Á_µ

and ½»(_»(µÁ₎); in particular, on changes in skewness. The observed plots also

show very clearly that as the natural parameter varies, the true distribution

of the score changes only in its location, whereas this is not so in a general

parametrisation.

This brings to light acertain natural duality between the maximum like

natural and mean value parametrisations. For any given point consider its

corresponding tangent space T Mµ and T M´(µ) in the two plots. In each plot

wehave …ve horizontal and …ve vertical crossing points, as above, giving

in-formation about the distribution of the maximum likelihood estimator and

thescore function respectively in the same parametrisation. Now, these two

plots are far from independent. As ^´(x) = ´(µ) + n¡1_{s(µ;x), the horizontal}

crossing points in the mean parameter plot are just an a ¢ ne transformation

of the verticalcrossing points in the natural parameter plot. The converse is

trueasymptotically. Aswediscussbelow, this simpleand natural duality be

-tween the maximum likelihood estimator and thescore function corresponds

with the duality present in Amari’s expected geometry.

3

.

3

A mari’

s

+ 1-geomet r y

The aboveone dimensional plots have already indicated twosenses in which

the natural parametrisation is very special. We note here that this is so

generally. Our analysis then provides a simple statistical interpretation of

Amari’s +1-connection.

From (4) we see that in the natural parametrisation the score function

independent of the data. Recalling (1) and (4) we see that this property is

lost in a non a ¢ nereparametrisation», since B¹(µ) (:= B¹1

1(µ))isindependent

of µ if and only if » is an a ¢ ne transformation of µ. An equivalent way to

describe this property is that the ‘error term’ ²Á_{(µ;x) in the mean value} decomposition of s(µ;x) de…ned at the end of Section 1.3 is independent of

µ. Or again, as ¹Á_{(Á) vanishes, that this decomposition has the form}

s(µ;x) = ¹Á_{(µ) + s(Á;x): (7)}

Note that ½_µÁ di¤ers from ½Á_µ0 only by the translation ¹Á(µ) ¡ ¹Á(µ0). In

this parametrisation, from one sample to the next, the whole graph of the

observed score function just shifts vertically about its Á-expectation by the

same amount s(Á;x).

Asaconsequenceof(7), theÁ-covarianceofthescorefunction isindepe

n-dent ofµ, (and therefore coincides withgÁ_{(Á) = I(Á)). But g}Á_{(µ) isa metric}

tensor (Section1.4) and,in thisparametrisation, themetricisconstant across

all tangent spaces. Recalling Section 2.2 we note that if a metric isconstant

in a parametrisation then theparametrisation isa ¢ nefor themetric connec

-tion. All tangent spaces thus have the same geometric structure and di¤er

only by their choice of origin. For more details on this geometric idea of

The metric connection is the natural geometric tool for measuring the

variation of a metric tensor in any parametrisation. But Critchley, Marriott

and Salmon (1994) prove that, in the full exponential family, the metric

connection induced by gÁ_{(µ) coincideswith Amari’s +1-connection. Thus we}

have the simple statistical interpretation that r + 1 _{is the natural geometric}

measure of the non constancy of the covariance of the score function in an

arbitrary parametrisation. In the one dimensional case, the +1-connection

measures the variability of variance of the observed score across di¤erent

points of M. Looking again at Figures 1 to 4 we see a visual representation

of this fact in that the §2 standard deviation bars on the expected plot are

of a constant length for theµ-parametrisation, and this does not hold in the

non a ¢ ne»-parametrisation.

3

.

4

A mari’

s

0-geomet r y

.

Thefact that in the natural parametrisation all theobserved score functions

havethesameshapeinvitesinterpretation. From (7) weseethat the common

information conveyed in all of them is that conveyed by their Á-mean. What

is it?

clear since ¹Á _{determines I via}

Ii j(µ) = ¡@¹ Á j

@µi (µ)

while the converse is true by integration, noting that ¹Á_{(Á) = 0. Thus, in}

natural parameters,knowing the Fisher information at all pointsisequivalent

to knowing the true mean of the score function, (and hence all the observed

score functions up to their stochastic shift term). In particular, in the one

dimensional case, the Fisher information is conveyed visually by minus the

slopeof thegraph of ¹Á_{(µ)as,forexample,in thenatural parameterexpected}

plotsof Figures 1 to 4.

Amari uses the Fisher information as his metric tensor. It is important

to note that when endowed with the corresponding metric connection an

exponential family is not in general ‡at. That is, there does not, in general,

exist any parametrisation in which the Fisher information is constant. The

multivariate normal distributions with constant covariance matrix and any

onedimensionalfamily arenotable exceptions. In theformercase,thenatural

parameters are a ¢ ne. In the lattercase, using (3), the a ¢ ne parameters are

obtained as solutions to the equation

(@µ

@»(µ))2Ã

For example in the Poisson family where Ã(µ) = exp(µ) one …nds »(µ) =

exp(µ

2) as in Hougaard (1982).

Thus far we have seen that, in the case of the full exponential family,

the fundamental components of Amari’s geometry (M;I; r + 1_{) can be s}

im-ply and naturally understood in terms of the …rst two moments of the score

function under the distribution assumed to give rise to the data. I is de

-…ned by the true mean, and r + 1 _{by I and the true covariance. Further,}

they can be understood visually in terms of the expected plots in our one

dimensional examples. We now go on tocomment on duality and choice of

parametrisation.

3

.

5

A mari’

s

¡

1

-geomet r y and duality

.

The one dimensional plots above have already indicated a natural duality

between the score vector and the maximum likelihood estimator, and that

there is a natural statistical curvature, even in the one dimensional case,

unless the manifold is totally ‡at. That is,unless thegraph of the true mean

score function is linear in the natural parametrisation. We develop these

Amari (1990) shows that the mean value parameters

´(µ) = Ep(x;µ)[t(x)] = Ã0(µ)

are ¡1-a ¢ ne and therefore, by his general theory, duality related to the

natural +1- a ¢ ne parameters µ. We o¤er the following simple and direct

statistical interpretation of this duality. We have,

^´ = ´(µ) + n¡1_s(µ;x):

Expanding µ(^´) to …rst order about ´ gives an asymptotic converse

^

µ=_µ + n¡1_B¹_{(µ)s(µ;x) = µ + n}¡1_s(´;x);

the right hand equality following from (1) and where we use =_ to denote

…rst order asymptotic equivalence. Note that B¹(µ) = i¡1_{(µ). Thus the}

duality between the +1and ¡1connectionscan be seen as the abovestrong

and natural asymptotic correspondence between the maximum likelihood

estimator in one parametrisation and the score function in another. In fact

this simple statistical interpretation of Amari’s duality is not restricted to

the full exponential family, see Critchley, Marriott and Salmon (1994).It is

established formally in a more general case than +1 duality here in section

3

.

6

Total ‡at ne

ss

and

c

hoi

c

e of paramet ri

s

ation

.

The above approximation to ^µ is exact when µ and ´ are a ¢ nely equivalent.

In this case, ^µ and ^´ are in the same a ¢ ne relationship and so their dis

tri-butions have the same shape. In particular, as normality is preserved under

a ¢ ne transformations, these distributions are as close to normality as each

other whatever the de…nition of closeness that is used. In the case where M

is a constant covariance normal family ^µ and ^´ are both exactly normally

distributed.

A ¢ ne equivalence of µ and ´ is a very strong property. When it holds

much more is true. It is the equivalent in the full exponential family case of

thegeneral geometricnotion oftotal ‡atness de…ned andstudied in Critchley,

Marriott and Salmon (1993). Recall that the natural parametrisation µ has

already been characterised by the fact that the true covariance of the score

function is constant in it. Total ‡atness entails this same parametrisation

equivalences,

µ and ´ are a± nely equivalent

( ) Ã isaquadraticfunctionof µ

( ) I(µ) isconstant in thenatural parameters

( ) ¹Á_{(µ) isan a± nefunctionof µ}

( ) 9®6= ¯ with r® = r ¯

( ) 8®;8¯; r® _{= r} ¯

( ) theµ parametrisation is®¡a± nefor all ®

see Critchley, Marriott and Salmon (1993). In particular, the maximum

likelihood estimator of any ®-a ¢ ne parameters are all equally close (in any

sense) to normality.

It is exceptional for a family M to be totally ‡at. Constant covariance

multivariatenormal familiesarea rare example. In totally ‡at manifolds the

graph of ¹Á_{(µ) is linear in the natural parametrisation, as remarked upon}

in the one dimensional normal example of Figure 2. More usually, even in

the one dimensional case, a family M of probability (density) functions will

exhibit a form of curvature evidenced by the non linearity of the graph of

¹Á_(µ).

^

µ and ^´. In the natural parametrisationµ each observed graph is a vertical

shift of the expected graph. This shift is an a ¢ ne function of t¹ = ^´. The

intersection of the observed plot with the µ axis determines ^µ. When the

expected plot is linear (the totally ‡at case) then^µ and^´ are a ¢ nely related

and so their distributions have the same shape. When it is non linear they

will not bea ¢ nely related. Thisopensup thepossibility that, in a particular

senseof ‘closeness’, one of them will be closer to normality.

In allcases, the0-geometry playsa pivotal rolebetween the §1-geometries.

That is, the graph of ¹Á_{(µ) determines the relationship between the dis}

tri-butions of the maximum likelihood estimators ^µ and ^´ of the §1-a ¢ ne

pa-rameters. Weillustrate thisfor our examples in Figure5. Both distributions

areofcourse exactly normal when the parent distribution is. In the Poisson

case the concavity of ¹Á_{(µ) means that the positiveskewnessof^´ is reduced.}

Indeed, ^µ has negative skew as Fig5a illustrates. The opposite relationship

holds in the Exponential case where ¹Á_{(µ) is convex. In our Bernoulli e}

xam-ple, the form of ¹Á_{(µ) preserves symmetry while increasing kurtosis so that,}

in this sense, the distribution of ^µ is closer to normality than that of ^´.

INSE RT FIG UR E 5a H E R E

µ parameters

.

INSE RT FIG URUR E 5b H E R E

density of ^µ The mean score in density of ^´

µ parameters

Figure5b. Normal

INSE RT FIG UR E 5c H E RE

density of ^µ The mean score in density of ^´

µ parameters

Figure 5c. Exponential

INSE RT FIG UR E 5d H E RE

probability function of^µ The mean score in probability function of ^´

µ parameters

Figure 5d. Bernoulli

3

.

7

A mari’

s

§

3

-geomet r y and duality

.

Amari’s 1

3-connection can be simply interpreted in terms of linearity of the

graph of the true mean score function, at least in the one dimensional s

itu-ation where the 1

3-a ¢ ne parameters are known toexist. If M is totally ‡at,

on-stant covariance family. It is therefore natural to pose the question: Can a

parametrisation be found for a general M in which this graph is linear?

This question can be viewed in two ways. Firstly, for somegiven p(x;Á),

is such a parametrisation possible? However in thiscase, any parametrisation

foundcould be a function of the true distribution. In general, there will not

be a single parametrisation that works for all Á. The second way is to look

locally to Á. This is the more fruitful approach statistically. The question

then becomes: Can a single parametrisation µ ! » be found such that, for

all Á, the graph of the true mean score is linear locally to » = »(Á)? In the

one dimensional case, we seek » such that

8Á; @2¹»(Á)(»)

@»2 j»=»(Á) = 0

Such a local approach is su ¢cient asymptotically when the observed score

function will be close to its expected value and the maximum likelihood es

-timate will be close to the true parameter. Thus in such a parametrisation,

whatever the true value, the observed log likelihood will asymptotically be

close to quadratic near the ML E. Hence the name, normal likelihood

pa-rameter. Amari (1990) shows that such parameters always exist for a one

dimensional full exponential family, and that they are the 1

3-a ¢ ne parame

Thevanishing of thesecond derivativeof thetrue expectedscorefunction

in oneparametrisation»…ndsa dual echo in the vanishing of theasymptotic

skewness of the true distribution of the maximum likelihood estimator in

another parametrisation ¸. This is called the ¡ 1

3-a ¢ ne parametrisation as it

isinduced by Amari’s ¡ 1

3-connection. Noteagain that theduality isbetween

the score function and the maximum likelihood estimator as in Section 3.5.

Thiscan be formalised as follows.

Consider any one dimensional full exponential family,

p(x;µ) = expft(x)µ ¡ Ã(µ)g:

Let » and ¸ be any two reparametrisations. Extending the approach in

Section 4.5, it is easy to show the following equivalences:

^

»=_» + n¡1_{s(¸;x) ( )} ^_{¸=_ ¸ + n}¡1_{s(»;x) ( )} @¸ @µ

@» @µ = Ã

00_(µ):

In thiscase, wesay that » and ¸ are Ã-dual. Clearly, thenatural (+1- a ¢ ne)

and mean value (¡1-a ¢ ne) parameters are Ã-dual. A parameter » is called

self Ã-dual if it is Ã-dual to itself. In this case we …nd again the di¤erential

equation for the 0-a ¢ ne parameters given in Section 4.4. More generally, it

can beshown that for any ® 2 R

For a proof see the appendix. Thus the duality between the score function

and the maximum likelihood estimator coincides quite generally with the

duality in Amari’s expected geometry.

Note that the simple notion of Ã-duality gives an easy way to …nd ¡®

-a ¢ ne parameters once +®-a ¢ ne parameters are known. Forexample, given

that » = µ13 is 1

3-a ¢ ne in the exponential family (Hougaard, 1982) where

Ã(µ) = ¡ ln(µ), one immediately has

@¸

@µ = 3µ¡

4 3

whence µ¡1

3 is ¡1

3-a ¢ ne. Again, in the Poisson family, » = exp(µ=3) is 1

3-a ¢ ne gives at once that exp(2µ=3) is ¡ 13-a ¢ ne.

Thelocal linearity ofthetruescorein +1

3-parameters suggeststhat as

ymp-totically the distributions of the maximum likelihood estimator of the §1 3

-a ¢ ne parameters will be relatively close compared, for example, to the those

of the §1-a ¢ ne parameters. In particular, it suggests that both will show

little skewness. Figure 6, which may be compared to Figure 5(c), conveys

this information for our Exponential familyexample.

INSE RT FIG UR E 6 H E R E

+1

3-parametrisation true mean score in +13 parametrisation ¡ 13- parametrisation

4

Sample

s

ize e¤e

c

t

s.

In this section we look at the e¤ect of di¤erent sample sizes on our plots of

thegraph of thescore vector. For brevity we concentrateon the exponential

model. In Figure7 weplot the observed scores, taken as before at the5, 25,

50, 75, and 95% points of the distribution of the score vector. We do this

in the naturalµ-parameters and the ¡1- a ¢ ne mean value ´-parameters, for

sample sizes 5, 10, 20 and50.

INSE RT FIG UR E 7 H E R E

In thenatural parameterswe canseethat thedistribution of^µapproaches

its asymptotic normal limit. Its positive skewness visibly decreases as the

samplesizeincreases. Morestrikingly, thenon linearity ineach of thegraphs

of theobserved scores reducesquickly as n increases. For thesample size 50

case we see that each graph is, to a close degree of approximation, linear.

Thisimplies that at this samplesizetherewill bealmost an a ¢ nerelationship

between the score in µ coordinates and the maximum likelihood estimator

^

µ. Thus demonstrating their well known asymptotic a ¢ ne equivalence. It

also throwslight on thefamiliar asymptotic equivalenceof thescoretest, the

estimate) the likelihood ratio test.

For any model in any smooth invertible reparametrisation of the natural

parameters asymptotically the graphs of the observed score will tend to the

natural parametrisation plot of the normal distribution shown in Figure 2.

In this limit thegraphs becomestraight and parallel. We can seeboth these

processes in the ´-parametrisation of Figure 7. In this example a higher

samplesizethanfor thenatural parametercaseareneeded to reach thesame

degree of asymptoticapproximation. The highly non-linear and non-parallel

graphs ofsample size 5 and10 have been reduced to a much more moderate

degree of non-linearity for sample size 50. However this sample size is not

quitesu ¢cient to producetheparallel, linear graphsoftheµ-parametrisation,

thus there willstill not quite be an a ¢ ne relationship between thescoreand

the maximum likelihood estimator.

A ppendix

.

Wegive the proofof the equivalence claimed in Section3.7. Weassumehere

familiarity with the useof Christo¤el symbols, see Amari (1990, page 42).

the parameterisations » and ¸ are Ã-dual. Then » is +®-a ¢ ne if and only if

¸ is ¡®-a ¢ ne.

Proof. From Amari (1990) we have in the natural µ-parametrisation

¡®_{(µ) = (}1 ¡ ® 2 )Ã

000_(µ)

Thus in»-parameters, by the usual transformation rule, the Christo¤els

ym-bols are

¡®_{(») = (}@µ

@»)3¡®(µ) + i(µ)@@»µ@

2_µ

@»2

= (1¡®

2 )Ã000(µ)(@@»µ)3 + Ã00(µ)@@»µ@

2_µ

@»2

Thus » is ®-‡at if and only if

(1 ¡ ®

2 )Ã

000_{(µ) + Ã}00_(µ)(@2µ

@»2)( @»

@µ)2 = 0 (8)

Similarly in ¸ parameters we have ¸ is ¡®-‡at if and only if

(1 + ®

2 )Ã000(µ) + Ã00(µ)( @2_µ @¸2)(

@¸

@µ)2 = 0 (9)

Since» and ¸ are Ã-dual we have

@µ @¸

@µ @» = (Ã

00₎¡1_(µ)

Di¤erentiating both sides with respect toµ using the chain rulegives

@2_µ@¸@µ

multiplying through by (Ã00₎2 _{and using the Ã-duality gives}

@2_µ @¸2(

@¸

@µ)2Ã00(µ) + @2_µ @»2(

@»

@µ)2Ã00(µ) = ¡Ã000(µ) (10)

Substituting (10) into (9) gives(8), and (10) into (8) gives(9) asrequired.

Referen

c

e

s.

Amari,S. (1990), Di¤erential-Geometricalmethods in Statistics, seconde

di-tion. Springer-Verlag: Berlin. Lecture Notes in Statistics No. 28.

Barndor¤-Nielson, O.E., Cox D.R. and Reid N. (1986), The Roleof Di¤e

r-ential Geometry in Statistical Theory, International Statistical Review,

54:83-96

Bates, D.M. and Watts, D.G. (1980), Relative curvature measures of

non-linearity, J. Roy. Statist. Soc., B 40: 1-25.

Bates, D.M. and Watts, D.G. (1981), Parametric transforms for

improv-ing approximate con…dence regions in non-linear least squares, Ann.

Statist., 9:1152- 1167.

Cox, D.R., and Hinkley, D.V., (1974), Theoretical Statistics, Chapman and

Critchley, F., Marriott P.K., and Salmon, M., (1993), Preferred point ge

-ometry and statistical manifolds. Ann. Statist. 21, 1197-1224.

Critchley, F., Marriott P.K., and Salmon, M. (1994) On thelocal di¤erential

geometry of the Kullback-Liebler divergence,Annals Statist 22 p1587

-1602.

Dodson, C.T.J. and T. Poston (1977), Tensor geometry. Pitman: London.

Firth, D.(1993), Biasreduction ofmaximum likelihoodestimates,Biometrika,

80: 27-38.

Hougaard, P. (1982), Parametrisationsofnonlinear models, J. Roy. Statist.

Soc B, 44:244-252.

Kass, R.E. (1984), Canonical parametrisation and zero parameter e¤ects

curvature, J. Roy. Statist. Soc B, 46:86-92.

Kass, R.E. (1987), Introduction, Di¤erential Geometry in Statistical Infe

r-ence, Instituteof Mathematical Statistics: Hayward, California.

Kass R.E. (1989), The geometry of asymptotic inference, Statistical Sc

McCullagh, P. and Nelder, J.A. (1989), Generalised Linear Models,

Chap-man and Hall: London, second edition.

Murray M. K. and J.W. Rice (1993) Di¤erential Geometry and Statistics.

Observed Plot: Natural parameters Score -0.6 -0.4 -0.2 0.0 0.2 0.4 -10 -5 0 5 10 O bs er ve d P lo t: x i-p ar am et er s Score 0.5 1.0 1.5 2.0 -10 0 10 20 30 E xp ec te d P lo t: N at ur al p ar am et er s Score -0.6 -0.4 -0.2 0.0 0.2 0.4 -10 -5 0 5 10 Expected Plot: xi-parameters Score 0.5 1.0 1.5 2.0 -10 0 10 20 30

Figure 1: Poisson

O bs er ve d P lo t: N at ur al p ar am et er s Score -0.4 -0.2 0.0 0.2 0.4 -15 -5 0 5 1015 O bs er ve d P lo t: x i-p ar am et er s Score -0.5 0.0 0.5 -20 -10 0 10 20 E xp ec te d P lo t: N at ur al p ar am et er s Score -0.4 -0.2 0.0 0.2 0.4 -15 -5 0 5 1015 Expected Plot: xi-parameters Score -0.5 0.0 0.5 -20 -10 0 10 20

Figure 2: Normal

Observed Plot: Natural parameters Score 0.5 1.0 1.5 2.0 -10 -5 0 5 10 15 O bs er ve d P lo t: x i-p ar am et er s Score -1.6 -1.4 -1.2 -1.0 -0.8 -0.6 -0.4 -60 -40 -20 0 Expected Plot: Natural parameters Score 0.5 1.0 1.5 2.0 -10 -5 0 5 10 15

Expected Plot: xi-parameters

Score -1.6 -1.4 -1.2 -1.0 -0.8 -0.6 -0.4 -60 -40 -20 0

Figure 3: Exponential

O bs er ve d P lo t: N at ur al p ar am et er s Score -1 0 1 -6-4 -2 0 2 4 6 O bs er ve d P lo t: x i-p ar am et er s Score 0.2 0.4 0.6 0.8 -60 -200 2040 6080 Expected Plot: Natural parameters Score -1 0 1 -6-4 -2 0 2 4 6

Expected Plot: xi-parameters

Score 0.2 0.4 0.6 0.8 -60 -200 2040 6080

Figure 4: Bernoulli

· · · · · · · · · · · · · · · · · · · · Probability function of MLE: Natural parameters -2.0 -1.5 -1.0 -0.5 0.0 0.5 0.0 0.02 0.04 0.06 0.08 0.10 0.12 M ea n sc or e na tu ra l p ar am et er s Score -0.6 -0.4 -0.2 0.0 0.2 0.4 -4 -2 0 2 4 F ig ur e 5a : P oi ss on · · · · · · · · · · · · · · · · · · ·· P ro ba bi lit y fu nc tio n of M LE : E xp ec te d pa ra m et er s 0.5 1.0 1.5 2.0 0.0 0.02 0.04 0.06 0.08 0.10 0.12 D en si ty o f M LE : N at ur al p ar am et er s -0.3 -0.2 -0.1 0.0 0.1 0.2 0.3 0.0 0.1 0.2 0.3 0.4 M ea n sc or e na tu ra l p ar am et er s Score -0.4 -0.2 0.0 0.2 0.4 -4 -2 0 2 4 F ig ur e 5b : N or m al Density of MLE: expected Parameters -0.3 -0.2 -0.1 0.0 0.1 0.2 0.3 0.0 0.1 0.2 0.3 0.4

Density of MLE: Natural parameters 1 2 3 4 5 0 2 4 6 8 10 12 Mean score natural parameters 0.5 1.0 1.5 2.0 -10 -5 0 5 10 15 F ig ur e 5c : E xp on en tia l

Density of MLE: Expected parameters

-3.0 -2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.02 0.04 0.06 0.08 0.10 0.12 · · · · · · · · · Probability function of MLE: Natural parameters -2 -1 0 1 2 0.05 0.10 0.15 0.20 0.25 Mean score natural parameters Score -1 0 1 -4 -2 0 2 4 Figure 5d: Bernoulli · · · · · · · · · · P ro ba bi lit y fu nc tio n of M LE : E xp ec te d pa ra m et er s 0.2 0.4 0.6 0.8 1.0 0.0 0.05 0.10 0.15 0.20 0.25

1/ 3 P ar am et er is at io n 0.8 1.0 1.2 1.4 1.6 0.0 0.5 1.0 1.5 2.0 2.5 Expected score 1/3 parameterisation 0.5 1.0 1.5 2.0 2.5 -150 -100 -50 0 50 100 Figure 6: Exponential -1 /3 P ar am et er is at io n 0.6 0.8 1.0 1.2 1.4 0 2 4 6 8 10 12 14

O bs er ve d P lo t: N at ur al p ar am et er s Score 0.6 0.8 1.0 1.2 1.4 1.6 1.8 -10 -5 0 5 10 15 Observed Plot: Expected parameters Score -2.0 -1.5 -1.0 -0.5 -40 -30 -20 -10 0 O bs er ve d P lo t: N at ur al p ar am et er s Score 0.5 1.0 1.5 2.0 -10 -5 0 5 10 15 Observed Plot: Expected parameters Score -1.6 -1.4 -1.2 -1.0 -0.8 -0.6 -0.4 -60 -40 -20 0 O bs er ve d P lo t: N at ur al p ar am et er s Score 0.8 1.0 1.2 1.4 -15 -5 0 5 1015 Observed Plot: Expected parameters Score -1.4 -1.2 -1.0 -0.8 -40-30 -20-10 0 10 O bs er ve d P lo t: N at ur al p ar am et er s Score 0.8 0.9 1.0 1.1 1.2 1.3 -20-10 0 10 20 Observed Plot: Expected parameters Score -1.3 -1.2 -1.1 -1.0 -0.9 -0.8 -40 -20 0 1020 Figure 7

!

_{!"#$%&'()*)+#,(,+#%+,(}

(

List of other working papers:

1999

1. Yin-Wong Cheung, Menzie Chinn and Ian Marsh, How do UK-Based Foreign Exchange Dealers Think Their Market Operates?, WP99-21

2. Soosung Hwang, John Knight and Stephen Satchell, Forecasting Volatility using LINEX Loss Functions, WP99-20

3. Soosung Hwang and Steve Satchell, Improved Testing for the Efficiency of Asset Pricing Theories in Linear Factor Models, WP99-19

4. Soosung Hwang and Stephen Satchell, The Disappearance of Style in the US Equity Market, WP99-18

5. Soosung Hwang and Stephen Satchell, Modelling Emerging Market Risk Premia Using Higher Moments, WP99-17

6. Soosung Hwang and Stephen Satchell, Market Risk and the Concept of Fundamental Volatility: Measuring Volatility Across Asset and Derivative Markets and Testing for the Impact of Derivatives Markets on Financial Markets, WP99-16

7. Soosung Hwang, The Effects of Systematic Sampling and Temporal Aggregation on Discrete Time Long Memory Processes and their Finite Sample Properties, WP99-15

8. Ronald MacDonald and Ian Marsh, Currency Spillovers and Tri-Polarity: a Simultaneous Model of the US Dollar, German Mark and Japanese Yen, WP99-14

9. Robert Hillman, Forecasting Inflation with a Non-linear Output Gap Model, WP99-13

10.Robert Hillman and Mark Salmon , From Market Micro-structure to Macro Fundamentals: is there Predictability in the Dollar-Deutsche Mark Exchange Rate?, WP99-12

11.Renzo Avesani, Giampiero Gallo and Mark Salmon, On the Evolution of Credibility and Flexible Exchange Rate Target Zones, WP99-11

12.Paul Marriott and Mark Salmon, An Introduction to Differential Geometry in Econometrics, WP99-10

13.Mark Dixon, Anthony Ledford and Paul Marriott, Finite Sample Inference for Extreme Value Distributions, WP99-09

14.Ian Marsh and David Power, A Panel-Based Investigation into the Relationship Between Stock Prices and Dividends, WP99-08

15.Ian Marsh, An Analysis of the Performance of European Foreign Exchange Forecasters, WP99-07

16.Frank Critchley, Paul Marriott and Mark Salmon, An Elementary Account of Amari's Expected Geometry, WP99-06

17.Demos Tambakis and Anne-Sophie Van Royen, Bootstrap Predictability of Daily Exchange Rates in ARMA Models, WP99-05

18.Christopher Neely and Paul Weller, Technical Analysis and Central Bank Intervention, WP99-04

19.Christopher Neely and Paul Weller, Predictability in International Asset Returns: A Re-examination, WP99-03

20.Christopher Neely and Paul Weller, Intraday Technical Trading in the Foreign Exchange Market, WP99-02

21.Anthony Hall, Soosung Hwang and Stephen Satchell, Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models, WP99-01

1998

4. Adam Kurpiel and Thierry Roncalli , Option Hedging with Stochastic Volatility, WP98-02

5. Adam Kurpiel and Thierry Roncalli, Hopscotch Methods for Two State Financial Models,