Normal Distribution – Proof that Maximum Likelihood Estimator is Asymptotically Normal

maximum likelihoodnormal distributiontaylor series

I'm trying to proof that the Maximum Likelihood Estimator is Asymptotically Normal distribuited.
I'm stuck in the lasts steps. Here's what I've done:

I do the Taylor's expansion of, that's the mean of the score function:
$$\frac{1}{n}\sum \frac{\partial log f(x_i, \theta)}{\partial \theta}$$
The Taylor's expansion around the true, unknown, value $\theta_0$ is:
$$
\left.\frac{1}{n}\sum \frac{\partial log f(x_i, \theta)}{\partial \theta}\right\vert_{\theta_0}+ \left.\frac{1}{n}\sum \frac{\partial^2 log f(\underline{x}, \theta)}{\partial \theta^2}\right\vert_{\theta_0}(\theta-\theta_0) +R/n
$$
We know that the mean is an approximatio of the expected value thanks to Weak Law of Large Numbers. The first one goes to 0 and second goes to a $-I_n(\theta)$ and the third goes to 0 for assumptions on the form of the remainder.

Now my problem is that I was told to use the ML estimation $\hat\theta$ and do again the Taylor's expansion, but I didn't get all the steps

I know only that in the end we get this:
$$
(\hat{\theta}-\theta_0)=\left[\frac{1}{\sqrt{n}}\sum \frac{\partial^2 log f(\underline{x}, \theta)}{\partial \theta^2}\right]^{-1}\left[\frac{1}{\sqrt{n}}\sum \frac{\partial log f(x_i, \theta)}{\partial \theta}+ R/n\right]
$$

$ \hat\theta-\theta_0 \sim N(0,I^{-1}(\theta_0)) $

I know that we have to use the Central Limit Theorem, but I'm quite confused and I don't know how to go on. I tried to get some information, but with no results.
Can someone provide me a clear explanation on why the MLE goes to Normal asymptotically? Thank you.

Best Answer

The log likelihood funciton is $$l(\theta_0)=\sum_{i=1}^n log(f(x_i)) \tag{1}$$ Since $\hat{\theta}$ is a solution of the maximum of log likelihood funtion $l(\theta_0)$ we know that $l'(\hat{\theta})=0$.

Next we do a Taylor expanson of $l'(\hat{\theta})$ around $\theta_0$

$$l'(\hat{\theta})=l'(\theta_0)+\frac{l''(\theta_0)}{1!}(\hat{\theta}-\theta_0)+\frac{l'''(\theta)}{2!}(\hat{\theta}-\theta_0)^2$$

Since $l'(\hat{\theta})=0$, we do some rearrangements here,

$$-l''(\theta_0)(\hat{\theta}-\theta_0)-\frac{l'''(\theta_0)}{2}(\hat{\theta}-\theta_0)^2=l'(\theta_0)$$ $$(\hat{\theta}-\theta_0)=\frac{l'(\theta_0)}{-l''(\theta_0)-\frac{l'''(\theta)}{2}(\hat{\theta}-\theta_0)}$$

We multiply $\sqrt{n}$ at both sides we get

$$\sqrt{n}(\hat{\theta}-\theta_0)=\frac{\frac{1}{\sqrt{n}}l'(\theta_0)}{-\frac{1}{n}l''(\theta_0)-\frac{l'''(\theta)}{2n}(\hat{\theta}-\theta_0)} \tag{2}$$

Next we need to show that $\frac{1}{\sqrt{n}} l'(\theta_0)$ has a $N(0,I(\theta_0))$ distribution.

From $(1)$ we get

$$l'(\theta_0)=\sum_{i=1}^n\frac{\partial log(f(x_i))}{\partial \theta_0}$$

We multiply $\frac{1}{\sqrt{n}}$ at both side.

$$\frac{1}{\sqrt{n}}l'(\theta_0)=\frac{1}{\sqrt{n}}\sum_{i=1}^n\frac{\partial log(f(x_i))}{\partial \theta_0} \tag{3}$$

Now we use CLT for the right hand side of $(3)$

We treat $\frac{\partial log(f(x_i))}{\partial \theta_0}$ as a random variable here.

And we can show $E(\frac{\partial log(f(x_i))}{\partial \theta_0})=0$ by following procedures:

$$1=\int_{-\infty}^{\infty}f(x)dx$$ take derivative of both sides

$$0=\int_{-\infty}^{\infty}\frac{\partial f(x)}{\partial \theta_0}dx=\int_{-\infty}^{\infty}\frac{\partial f(x)}{\partial \theta_0 f(x)}f(x)dx=\int_{-\infty}^{\infty}\frac{\partial log(f(x))}{\partial \theta_0}f(x)dx$$

Which shows that $E(\frac{\partial log(f(x_i))}{\partial \theta_0})=0$

We can show the variance of $\frac{\partial log(f(x_i))}{\partial \theta_0}$ is $I(\theta_0)$

Therefore, $$\frac{1}{\sqrt{n}}l'(\theta_0)\sim N(0,I(\theta_0))$$

We also can show that $-\frac{1}{n}l''(\theta_0)=I(\theta_0)$. I will not do detailed derivations here.

We also ignore the $-\frac{l'''(\theta)}{2}(\hat{\theta}-\theta_0)$ part in $(2)$

Now we wrap up $(2)$

$$\sqrt{n}(\hat{\theta}-\theta_0) \sim \frac{N(0,I(\theta_0))}{I(\theta_0)}=N(0,\frac{1}{I(\theta_0)})$$

By some rearrangements, you can see $\hat{\theta}$ also normally distributed.