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Binary laws with a rare event are not contiguous

Statement

For n≥2, define probability laws on {0,1} by Pn{1}=1/n,Qn{1}=1/2. Then Qn is not contiguous with respect to Pn. The likelihood ratios Ln=dQn/dPn exist, but their Pn-distributional limit has mean less than one; therefore the matching-mean hypothesis in A mean-one likelihood-ratio limit implies contiguity is essential.

Facts & Assumptions

Given: The two-point measurable space, the probability laws above, and the event-supremum definition of contiguity.

[F1]

Contiguous sequences of probability measures: Qn◃Pn would require Qn(An)→0 whenever Pn(An)→0.

[F2]

A mean-one likelihood-ratio limit implies contiguity: A nonnegative likelihood ratio with mean one and a nonnegative distributional limit of mean one gives contiguity.

Proof

technique · exhibit a rare event and compute the likelihood ratio
1.1F1givenalgebra

Let An={1}. Then Pn(An)=1/n→0, while Qn(An)=1/2 for every n. By [F1], this disproves Qn◃Pn.

2.1F2givenalgebra∎

On the two atoms, the density is Ln(1)=Qn{1}Pn{1}=n2,Ln(0)=Qn{0}Pn{0}=n2(n−1). Under Pn, the value n/2 occurs with probability 1/n and the other value tends to 1/2, so Ln⇒1/2. Each EPnLn=1, but E(1/2)=1/2≠1; hence the matching-mean condition of [F2] fails.

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