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FisherInformation

  

Fisher information of a distribution

 

Calling Sequence

Parameters

Description

Examples

Calling Sequence

FisherInformation(R, N, U)

Parameters

R

-

algebraic; a random variable or distribution

N

-

algebraic, posint; number of samples

U

-

symbol; a distribution parameter

Description

• 

The FisherInformation function computes the Fisher information of a random variable or a distribution.  The Fisher information is defined as the amount of information conveyed towards the value of a distribution parameter in a particular sample.

• 

The first parameter R can be a distribution (see Statistics[Distribution]), a random variable, or an algebraic expression involving random variables (see Statistics[RandomVariable]).

• 

The second parameter N is an algebraic expression or positive integer which indicates the number of samples considered.

• 

The third parameter U is a symbol which provides a parameter in the distribution for which the Fisher information should be calculated. For example, the distribution Normalμ,σ has two parameters (μ and σ) for which the Fisher information may be calculated.

Examples

withStatistics:

Calculate the Fisher information of each term of the normal distribution.

assume0<&sigma;

FisherInformationNormal&mu;&comma;&sigma;&comma;1&comma;&mu;

1&sigma;~2

(1)

FisherInformationNormal&mu;&comma;&sigma;&comma;1&comma;&sigma;

2&sigma;~2

(2)

See Also

Statistics

Statistics[Computation]

 


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