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Squared families: Searching beyond regular probability models

We introduce squared families, which are families of probability densities obtained by squaring a linear transformation of a statistic. Squared families are singular, however their singularity can easily be handled so that they form regular models. After handling the singularity, squared families possess many convenient properties. Their Fisher information is a conformal transformation of the Hessian metric induced from a Bregman generator. The Bregman generator is the normalising constant, and yields a statistical divergence on the family. The normalising constant admits a helpful parameter-integral factorisation, meaning that only one parameter-independent integral needs to be computed for all normalising constants in the family, unlike in exponential families. Finally, the squared family kernel is the only integral that needs to be computed for the Fisher information, statistical divergence and normalising constant. We then describe how squared families are special in the broader class of $g$-families, which are obtained by applying a sufficiently regular function $g$ to a linear transformation of a statistic. After removing special singularities, positively homogeneous families and exponential families are the only $g$-families for which the Fisher information is a conformal transformation of the Hessian metric, where the generator depends on the parameter only through the normalising constant. Even-order monomial families also admit parameter-integral factorisations, unlike exponential families. We study parameter estimation and density estimation in squared families, in the well-specified and misspecified settings. We use a universal approximation property to show that squared families can learn sufficiently well-behaved target densities at a rate of $\mathcal{O}(N^{-1/2})+C n^{-1/4}$, where $N$ is the number of datapoints, $n$ is the number of parameters, and $C$ is some constant.

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