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Iosif Pinelis
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"And I'm only interested in the case when the Taylor series is convergent for all values of $x$." -- There is no such Taylor series for $\ln$ (which is only defined on $(0,\infty)$).

However, to get the desired $O(1/n^2)$, you do not need a convergent series; you do not need any series at all. Instead, you need the Taylor expansion \begin{equation} \ln(1+u)=u-u^2/2+u^3/3+O(u^4) \tag{1} \end{equation} for $u\ge-1/2$ (say), with a universal constant in $O(u^4)$.

Indeed, letting \begin{equation} U:=\frac{X-np}{np+a}, \tag{2} \end{equation} for all real $a>0$ you can write \begin{align*} &E\ln(X+a)-\ln(np+a) \\ &=E\ln(1+U) \\ &=E\ln(1+U)1(U\ge-1/2) \\ &+E\ln(1+U)1(U<-1/2). \tag{3} \end{align*} By (1),
\begin{align*} &E\ln(1+U)\,1(U\ge-1/2) \\ &=E(U-U^2/2+U^3/3+O(U^4))\,1(U\ge-1/2) \\ &=E(U-U^2/2+U^3/3)+O(EU^4) \\ &-E(U-U^2/2+U^3/3)1(U<-1/2). \tag{4} \end{align*} Now we are going to use (say) Rosenthal's inequality (see e.g. formula (7) in this paper), which implies \begin{equation} EU^4=O(1/n^2) \tag{5} \end{equation} and \begin{equation} EU^6=O(1/n^3); \tag{6} \end{equation} here in what follows, the constants in $O(\cdot)$ may depend only on $p$ (and, in (11) and (12), also on $a$). By (6), for $m=0,1,2,3$ we have $|U|^m\,1(U<-1/2)|\le U^6(1/2)^{m-6}$ and hence \begin{equation} |EU^m\,1(U<-1/2)|\le EU^6(1/2)^{m-6}=O(1/n^3). \tag{7} \end{equation} Also, \begin{equation} EU=0,\quad EU^2=\frac{npq}{(np+a)^2} \tag{8} \end{equation} (where $q:=1-p$), $E(X-np)^3=n(pq^3-qp^3)=O(n)$ and hence \begin{equation} EU^3=O(1/n^2). \tag{9} \end{equation} By (4), (5), (7), (8), (9), \begin{align*} &E\ln(1+U)\,1(U\ge-1/2) \\ &=E(U-U^2/2+U^3/3)+O(1/n^2) \\ &=-\frac{npq}{2(np+a)^2}+O(1/n^2). \tag{10} \end{align*} By (2) and the obvious inequality $X\ge0$, we have $1+U\ge\frac a{np+a}$. So, by (7) and (6), \begin{align*} &E|\ln(1+U)\,1(U<-1/2)| \\ &\le\ln\frac{np+a}a\,EU^6(1/2)^{-6}=O(1/n^2). \tag{11} \end{align*} Now (3) and (10) yield \begin{align*} &E\ln(X+a)=\ln(np+a)-\frac{npq}{2(np+a)^2}+O(1/n^2), \tag{12} \end{align*} as desired.

Iosif Pinelis
  • 127.7k
  • 8
  • 107
  • 229