Here is the simplest case I know, which is a sum of dependent identically distributed variables. In physical terms, it is about the magnetisation of the 1d Curie-Weiss (=mean-field Ising) model. I follow the notation of the paper https://arxiv.org/abs/1409.2849 for ease of reference, this is roughly Theorem 8 + Theorem 10:
Let $M_n=\sum_{i=1}^n \sigma(i)$ be the sum of n dependent Bernouilli random variables $\sigma(i)\in\{\pm 1}$, where the joint distribution is given by
When $\beta=1$, the fluctuations of $M_n$ are very large and we have an anomalous CLT: $\frac{M_n}{n^{3/4}}$ converges in law to the probability distribution $\sim \exp(-frac{x^4}{12})$.
When $\beta<1$, $M_n$ satisfies a normal CLT: $\frac{M_n}{n^{1/2}}$ converges to a Gaussian.
When $\beta>1$, $M_n$ does not satisfy a limit theorem (there are two lower energy configurations)
In statistical mechanics, this is an old result of Ellis-Newman from 1978; the paper above puts it into a more systematic probabilistic framework, and proves finer results about the fluctuations (Theorems 16 and 17).
The physical intuition is that $\beta=1$ is the critical inverse temperature at which the 1d Curie-Weiss model goes through a continuous phase transition. In general, one should expect such anomalous CLTs in the thermodynamic limit of continuous phase transitions in statistical mechanics, with the shape of the CLT controlled by the Taylor expansion of the microcanonical entropy around the critical parameters. Indeed Ellis and his collaborators have worked out a number of such cases for various mean-field models (which according to Meliot-Nikeghbali also fit in their mod-Gaussian framework). It is of course very difficult to prove such results rigorously outside of mean-field models, since even proving that there is a phase transition is often out of reach.
A limitation of the Curie-Weiss result is that it is 1d and so the “singularity” is pretty limited. The Meliot-Nikeghbali paper has 2d and 3d generalisations where the singularities are a bit more interesting: see Theorem 11 and Equations (10) and (11). And here is another recent example from the stat mech literature
You were actually asking about Edgeworth expansions rather than just the CLT. It may be that with this method of producing anomalous CLTs, starting with a nice mod-Gaussian convergent sequence and doing a change of measure, one could write down further terms in the expansion? I haven’t thought about this.
Since the main result of SLT is roughly speaking an “anomalous CLT for the Bayesian posterior”, I would love to use the results above to think of singular Bayesian statistical models as “at a continuous phase transition” (probably with quenched disorder to be more physically accurate), with the tuning to criticality coming from a combination of structure in data and hyperparameter tuning, but I don’t really know what to do with this analogy!
Q: How can I use LaTeX in these comments? I tried to follow https://www.lesswrong.com/tag/guide-to-the-lesswrong-editor#LaTeX but it does not seem to render.
Here is the simplest case I know, which is a sum of dependent identically distributed variables. In physical terms, it is about the magnetisation of the 1d Curie-Weiss (=mean-field Ising) model. I follow the notation of the paper https://arxiv.org/abs/1409.2849 for ease of reference, this is roughly Theorem 8 + Theorem 10:
Let $M_n=\sum_{i=1}^n \sigma(i)$ be the sum of n dependent Bernouilli random variables $\sigma(i)\in\{\pm 1}$, where the joint distribution is given by
$$
\mathbb{P}(\sigma)\sim \exp(\frac{\beta}{n}M_n^2))
$$
Then
When $\beta=1$, the fluctuations of $M_n$ are very large and we have an anomalous CLT: $\frac{M_n}{n^{3/4}}$ converges in law to the probability distribution $\sim \exp(-frac{x^4}{12})$.
When $\beta<1$, $M_n$ satisfies a normal CLT: $\frac{M_n}{n^{1/2}}$ converges to a Gaussian.
When $\beta>1$, $M_n$ does not satisfy a limit theorem (there are two lower energy configurations)
In statistical mechanics, this is an old result of Ellis-Newman from 1978; the paper above puts it into a more systematic probabilistic framework, and proves finer results about the fluctuations (Theorems 16 and 17).
The physical intuition is that $\beta=1$ is the critical inverse temperature at which the 1d Curie-Weiss model goes through a continuous phase transition. In general, one should expect such anomalous CLTs in the thermodynamic limit of continuous phase transitions in statistical mechanics, with the shape of the CLT controlled by the Taylor expansion of the microcanonical entropy around the critical parameters. Indeed Ellis and his collaborators have worked out a number of such cases for various mean-field models (which according to Meliot-Nikeghbali also fit in their mod-Gaussian framework). It is of course very difficult to prove such results rigorously outside of mean-field models, since even proving that there is a phase transition is often out of reach.
A limitation of the Curie-Weiss result is that it is 1d and so the “singularity” is pretty limited. The Meliot-Nikeghbali paper has 2d and 3d generalisations where the singularities are a bit more interesting: see Theorem 11 and Equations (10) and (11). And here is another recent example from the stat mech literature
https://link.springer.com/article/10.1007/s10955-016-1667-9
You were actually asking about Edgeworth expansions rather than just the CLT. It may be that with this method of producing anomalous CLTs, starting with a nice mod-Gaussian convergent sequence and doing a change of measure, one could write down further terms in the expansion? I haven’t thought about this.
Since the main result of SLT is roughly speaking an “anomalous CLT for the Bayesian posterior”, I would love to use the results above to think of singular Bayesian statistical models as “at a continuous phase transition” (probably with quenched disorder to be more physically accurate), with the tuning to criticality coming from a combination of structure in data and hyperparameter tuning, but I don’t really know what to do with this analogy!