Interchange derivative and expectation operator

derivativesexpected value

I have a function $$f_\Sigma(x) = c\det(\Sigma^{-1})\exp(-0.5\Vert\Sigma^{-1}x\Vert^2_2)$$ and a function $$g_\Sigma(x – u) = f_\Sigma(x – u)\exp(-0.5\Vert AW_\Sigma a\Vert^2_2),$$
where $W_\Sigma$ is a $n\times n$ diagonal matrix whose $(j,j)$ element is given by $$w_{jj} = \frac{f_\Sigma(x – X_j)}{\sum_{i=1}^nf_\Sigma(x – X_i)}.$$
$A$ is matrix and $a$ some vector. $c$ is a constant and $X_1,X_2,\dots,X_n$ is a collection of iid random variables. I want to verify whether $$\frac{\partial}{\partial\Sigma}\mathbb E[g_\Sigma(x – U)] = \mathbb E\left[\frac{\partial}{\partial\Sigma}g_\Sigma(x – U)\right],$$
where $U$ is a random variable having the same distribution as the $X_i$.
I found it quite difficult to compute the derivative. Since I only want to verify whether derivative and expectation can be interchanged, I was wondering whether there is an approach to bind the derivative so that the conditions of the DCT are satisfied.

Edit: To add some background, $g_\Sigma$ is the multivariate local polynomial density estimator in case of linear fitting (https://projecteuclid.org/euclid.aos/1032298287). I want to study properties of the derivative of this estimator with respect to the bandwidth parameter $\Sigma$. Eventually, I guess the background is not too important as its more related to an application of DCT to a very very complicated function. I was hoping that someone with more calculus experience has may encountered similar functions and knows a "trick" to handle the difficulties arising from the $\exp$ terms.

Best Answer

This is a matter of interchanging of derivative and integration. Let me simplify the expressions a bit, say you want to calculate $$ \frac\partial{\partial p} \mathbb E[ g(p,\cdot)] =\frac\partial{\partial p} \int_\Omega g(p,X) d\mu(X) $$ for some real parameter $p$. Perturb $p$ by some $h$, then $$ \frac1t \left( \int_\Omega g(p+th,X) -g(p) d\mu(X) \right) =\int_\Omega \frac{g(p+th,X) -g(p)}t d\mu(X) =\int_\Omega \int_0^1 \frac{\partial g}{\partial p}(p+sth,X)h d\mu(X). $$ Now one needs to pass to the limit for $t\searrow0$. Dominated convergence will help. Hope this gives an idea, how to tackle this problem.

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