Is it possible to find the Fisher Information matrix of the two parameter (scale and location) exponential distribution? Any hint?
$\begingroup$
$\endgroup$
Add a comment
|
1 Answer
$\begingroup$
$\endgroup$
Adding the location parameter $\mu$ in the derivation in https://stats.stackexchange.com/a/263124/14346 and modifying the change of variable as $z=\frac{x-\mu}{\sigma}$, you can show that the information matrix of for any location-scale distribution is of the form: $$ I(\mu,\theta) = \frac{1}{\sigma^2} K_f $$ where $K_f$ depends on the distribution.
