Lemma 5, proof — Axiom 7 implies Axiom 5 (full rank) for large samples
ProvedMcFadden1974.Asymptotics.axiom5_eventuallyasymptotic-statisticsconditional-logitmaximum-likelihoodp2o-batch-pfp2bp2o-gran-per-chapterp2o-plan-paperp2o-v1
Consider a serially indexed conditional logit sample with data satisfying Axiom 7: the numbers of alternatives and the vectors are uniformly bounded, and the averaged moment matrices converge to a positive definite matrix . Then Axiom 5 holds for all large samples: there is such that for every the vectors
span ; equivalently, the matrix with these rows has rank .
Axiom 5 makes the Hessian of the log-likelihood negative definite, so the likelihood has at most one maximizer. This result shows that the asymptotic condition of Axiom 7 implies it in every sufficiently large sample.
Formalization Note The means are evaluated at ; the span does not depend on that choice.
Preamble
import Mathlib import Definitions.Def_McFadden1974_Asymptotics_LogitSample
Formal statement
namespace McFadden1974.Asymptotics
open MeasureTheory ProbabilityTheory Filter Topology
/-- **Axiom 7 implies Axiom 5 for large samples** (Lemma 5, proof, p. 134, PDF p. 30: "As noted
in the text, Axiom 7 implies that Axiom 5 holds when Σ_{n=1}^N R_n is large"; p. 120, PDF p. 16:
"The last part of this axiom strengthens the full-rank condition assumed earlier"). Axiom 5
(p. 116, PDF p. 12) asks that the matrix whose rows are the vectors `z_in − z̄_n` be of rank
`K`, i.e. that these vectors span `ℝ^K`.
Formalization Note: rank `K` of the matrix with rows `z_{im} − z̄_m` (`m < q`, all `i`) is
stated as: these vectors span `EuclideanSpace ℝ (Fin K)`. The means `z̄_m` are taken at `θ⁰`;
the span does not depend on the parameter at which `z̄_m` is evaluated, since it equals the
span of the differences `z_{im} − z_{jm}`. Only Axiom 7 is used; no randomness is involved. -/
theorem axiom5_eventually {K : ℕ} (D : SerialData K) (Jstar : ℕ) (M : ℝ)
(θ₀ : EuclideanSpace ℝ (Fin K)) (Ωlim : Matrix (Fin K) (Fin K) ℝ)
(h7 : Axiom7 D Jstar M θ₀ Ωlim) :
∃ q₀ : ℕ, ∀ q ≥ q₀,
Submodule.span ℝ {v | ∃ m < q, ∃ i : Fin (D.J m), v = D.z m i - zbar D m θ₀} = ⊤ := by sorry
end McFadden1974.Asymptotics
Source
McFadden, Conditional Logit Analysis of Qualitative Choice Behavior, in P. Zarembka (ed.), Frontiers in Econometrics, Academic Press (1974), p. 134, Lemma 5, proof (first sentence); also p. 120 (remark after Axiom 7); PDF pp. 30, 16
Human review
Confirmed by the mission captain (proposal self-audit).
Confirmed by the moderator at approval.