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Questions tagged [fisher-information]

The Fisher information measures the curvature of the log-likelihood and can be used to assess the efficiency of estimators.

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Action of Fisher information in “Latent Variable Model Selection…”

I'm having trouble understanding the role of the Fisher information matrix in the assumptions of Chandrasekaran et al. 2012. In the paper, the authors define the Fisher information matrix (i.e., ...
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Sufficient Statistic and Unbiased Estimate in Exponential Family

I am reading this classic paper (Information and the Accuracy Attainable in the Estimation of Statistical Parameters) by CR Rao where he deals with sufficient statistics in exponential distributions ...
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Score function of poisson distribution

I have a stupid question I haven't figured out. So when counting the score for poisson distribution I get the log likelihood $$S(\mu ) = \frac{\partial \ell(\lambda )}{\partial \lambda } = \sum_1^n \...
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Fisher information matrix and gradients

I'm a math Ph.D. without formal training in statistics. Quite a few papers on normalization methods in deep learning mention the Fisher information matrix and how it's related to the Riemannian metric ...
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How do we deduce this fisher information relation?

Given a RS $X_{1},X_{2},\ldots,X_{n}$ whose distribution is well known (unless its parameters), how do we prove the following Fischer Information relationship \begin{align*} I_{F}(\theta) =\textbf{E}\...
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The role of Fisher information matrix in Fisher kernel

I read the original paper proposed the Fisher kernel. The Fisher kernel is defined as $K(X_i,X_j) \propto U_{X_i}I^{-1}U_{X_j}$, where $U_X$ is the Fisher schore and $I$ is the Fisher information ...
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If $X\sim\text{Beta}(\theta,1)$, obtain the confidence interval of $100(1-\alpha)\%$ based on the asymptotic distribution of the score function

Let $X_{1},X_{2},\ldots,X_{n}$ be a random sample whose distribution is given by $\text{Beta}(\theta,1)$. Obtain the approximate confidence interval of $100(1-\alpha)\%$ based on the asymptotic ...
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Given $X\sim\mathcal{N}(0,\sigma^{2})$, obtain the Fischer information of $\sigma$ and $\sigma^{2}$

Suppose the random variable $X\sim\mathcal{N}(0,\sigma^{2})$, where we do not know the value of the standard deviation $\sigma$. Then obtain the Fisher information $I_{F}(\sigma)$ through $X$. Suppose ...
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Fisher Information for a Gaussian Process

Suppose I fit a Gaussian process to data such that the posterior distribution over any output is also a Gaussian process, $\mathcal{G}\mathcal{P}(\mu(x),\sigma^2(x))$ where $x$ is some valid input. ...
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Fisher information in GLM where $Y_1, Y_2,… ,Y_n$ are independent but not identically distributed

When making inference about regression coefficients, our estimate of asymptotic covariance matrix of $\mathbf{\hat {\beta}}$ is $$\hat{cov}(\hat{\beta}) = I^{-1}(\hat{\beta})$$ where $I$ is Fisher ...
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Weighted D optimality

I am working with D optimality for nonlinear models. My model has 8 parameters and some are more important than others. Is there a way to give weights to each of the parameters? I am thinking of ...
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Computing Empirical Fisher Information matrix for natural gradient

I would like to implement the natural gradient for reinforcement learning as described in the following paper: https://arxiv.org/pdf/1703.02660.pdf However, I do not know how to compute the empirical ...
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68 views

Observed information matrix with multivariate normal distribution

$$ \DeclareMathOperator\tr{tr} \DeclareMathOperator\vecOP{vec} \newcommand\di{\mathrm{d}} \newcommand\D{\mathrm{D}} \newcommand\Hess{\mathrm{H}} $$ I do not have much experience with matrix ...
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Finding Fisher information [duplicate]

Let $X$ distribution belongs for the family $\mathcal{P}\{P_{\theta}, \theta \in \Theta \}$. We need to find Fisher information $I(\theta)$ according $n$ simple sample, when $P_{\theta}$ is $N(\mu,\...
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Cramér-Rao Lower Bound & Fisher information - error in textbook?

I'm currently reading the textbook "Statistics for Mathematician" from Victor Panaretos. On page 65, the author presents the following equation for the Cramér-Rao Lower Bound (Note: I set the ...
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How to compute variance/confidence intervals from Fisher information matrix. Mistake in this document?

https://www.stat.umn.edu/geyer/5931/mle/mle.pdf In this document (by the great Geyer nonetheless!) it calculates confidence intervals using the Fisher matrix: But the standard deviation is not the ...
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Fisher information under different noise models

Directly lifted from Wikipedia: Fisher information (sometimes simply called information) is a way of measuring the amount of information that an observable random variable $X$ carries about an unknown ...
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Singular Fisher Information and nuisance parameters

I am interested in a problem where the Fisher Information matrix is singular and I want to treat some of the parameters as nuisance parameters. If the FI matrix is singular, that means that some ...
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Statistical meaning of $\mathbb E_P[score_\theta(Z)]^T\operatorname{Cov}_P[score_\theta(Z)]^{-1}\mathbb E_P[score_\theta(Z)]$

Consider a random vector $Z$ with distribution $P$ having mean $\mu$ and covarance matrix $\Sigma$. Question Statistically what is the meaning of the quadratic quantity $\mu^T\Sigma^{-1}\mu$ ? More ...
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147 views

Confidence interval for the 95th percentile of the normal distribution

Let $X_1, .., X_n \sim Normal(\mu, \sigma^2)$. Let $\tau$ be the 95th percentile of this distribution. Thus, $P(X_i < \tau) = 0.95$. What is the $1 - \alpha$ confidence interval for $\tau$? I ...
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Can negative of empirical second derivative of the log likelihood with respect to the parameters not be semi-positive definite?

This is the empirical Fischer Information. Also consider the outer product with itself of the first derivative of the log likelihood with respect to the parameters. This will always be semi-negative ...
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Alternatives to calculating the rank of the information matrix in determining if the model is identifiable

I have a known non-linear model $h \in \mathbf{R}^n$: $$ y = h(\theta) + \epsilon, $$ where $\theta\in \mathbf{R}^m$ is a parameter vector, and $\epsilon$ is a normal random variable with zero mean ...
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Different version of Wald test statistic formula

I came across two formulas for the Wald test statistic in a maximum likelihood framework: One has $(R\hat{\theta}-r)'(RI_n^{-1}R')^{-1}(R\hat{\theta}-r)$, where $I_n^{-1}$ is the inverse of the ...
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Statistics : Why is the Cramer-Rao Lower Bound (CRLB) inverse of the Fisher Information I(θ) ?

Why is the Cramer-Rao Lower Bound (CRLB) inverse of the Fisher Information I(θ) ? Could someone provide an intuitive explanation? I am having trouble understanding the concept.
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Inference for Maximum Likelihood Estimator Using Particle Filter

How does one compute standard errors for the MLE when using a particle filter approximation to the likelihood? I know that the estimator is asymptotically normal and that the variance-covariance ...
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1answer
138 views

understanding natural policy gradient

I'm reading this paper on Natural Policy Gradient https://papers.nips.cc/paper/2073-a-natural-policy-gradient.pdf and have some questions regarding how it works. I'm coming at this from an ML ...
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Fisher information matrix of the mean of a circularly symmetric complex Gaussian distribution

Does the FIM always exist for the mean vector of a complex Gaussian distribution? The log-likelihood function of a circularly symmetric complex Gaussian distribution for a $K\times1$ vector of ...
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1answer
271 views

Fisher information for MLE with constraint

Supposing I have a probability distribution $f(x|\vec\theta)$, where $x$ is a random variable and $\vec\theta$ is a vector of distribution parameters. I also know that parameters $\vec\theta$ should ...
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88 views

Why does Fisher use covariance when only variance is needed?

With reference to the following image from here: (can not inline it due to unsupported format) https://wikimedia.org/api/rest_v1/media/math/render/svg/9af8aa035642689bb2004047416b069a15406447 If we ...
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Fisher information for models that are not one-to-one

When a parameterized data model and corresponding pdf are known, the Cramér-Rao lower bound provides an lower bound for the variance of an estimator of one of the parameters. That is, given the data ...
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Observed Fisher Information & Cramer-Rao bound

The Cramer-Rao bound is usually derived for the "expected" or "total" fisher-information. Is a similar result possible for the observed-fisher information?
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Is there a Fisher Information equivalent in MAP Empirical Bayes estimation?

Background The Fisher information for a linear Gaussian model is $\mathcal{I}_{\theta} = \frac{X X^T}{\sigma^2} $. This is used in optimal experiment design techniques, for example, maximisation of $|...
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Does a quadratic log-likehood mean the MLE is (approximately) normally distributed?

So, in the usual case, one can prove from the asymptotic normality of a maximum likelihood estimator that the corresponding log-likehood surface is quadratic near the MLE (e.g. in the proof of the ...
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Is this reasoning about a chi squared distribution correct?

Consider for given mean $m\in \mathbb R$ the Gaussian product model $(\mathbb R^n, \mathcal{B}(\mathbb R^n),\mathcal{N}_{m,\theta}:\vartheta >0)$ where $\vartheta$ denotes the variance, and a ...
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Correct computation of Fisher Information

Let $\mathbf{X} = (X_1, \ldots, X_n)$ be an i.i.d sample from the parametric family of distributions $\mathcal{P} = \{P_\theta: \theta \in \Theta \}$ ($X_i \sim P_{\theta_0}$ are i.i.d. random ...
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259 views

Variance of estimator seemingly lower than CRLB?

While practicing for a mid-term, I came across a question where I was asked to investigate the variance of $\frac{(n+1)Y_{n}}{n}$ where $Y_{n}$ is the largest observation of a random sample of size $n$...
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Finding Fisher Matrix for Line Fitting

I am going through the "Fitting a Line" example from here. $f_1 = ax_1 + b$ and $f_2 = ax_2 + b$ are the models used to observed two data points in $R^2$. If $\sigma_1$ and $\sigma_2$ is the ...
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Fisher information of independent observations with transformation of parameters

Let $\boldsymbol\theta$ be a vector parameter, which can be estimated from two different time observation models (stochastic processes) $\mathbf{y}_1(t)$ and $\mathbf{y}_2(t)$. The Fisher information ...
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444 views

Fisher's Information for Laplace distribution

Say we have $f(x , \theta) = \frac{1}{2}e^{-|x-\theta|}$ Lets assume for simplicity, we only have 1 sample. We find that the log-likelihood for this distribution is: $$ l(\theta , x) = -log(2) + (\...
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1answer
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Cramér–Rao bound to multiple parameters

I was reading Cramér–Rao bound to multiple parameters from Wikipedia page, but I could not follow this line in the article: Let $\displaystyle {\boldsymbol {T}}(X)$ be an estimator of any ...
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Are natural gradients ever computed in practice?

The method of natural gradient adaption has been proposed as an improvement on gradient descent (e.g. Amari, "Natural Gradient Works Efficiently in Learning", 1998.) In gradient descent the usual ...
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Does marginalization of some of the latent variables improve convergence in EM?

Given a likelihood to maximize $$ \log p(x | \theta) $$ Imagine that, in order to apply EM, we can augment the model with one or two latent variables. In that case, we can derive two lower bounds: $...
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1answer
263 views

How to compute confidence intervals for maximum likelihood from the Fisher information matrix?

Looking at the Fisher information matrix for a simple linear model, such as here, I do not understand how to use the matrix to compute confidence intervals. There are multiple examples on the internet ...
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Meaning of the Bayesian Cramer-Rao bound for a coin flip

Consider a coin $X\sim\operatorname{Bernoulli}(p)$. Its Fisher information is given by $J=\frac{1}{p(1-p)}$. Now suppose we are in a Bayesian setting and our prior on $p$ is $\pi=\operatorname{Beta}(...
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Fisher information for marginal distribution

Suppose I have a random variable $X$ with the following distribution: $$f(x|\theta)=\sum_{k=0}^{\infty}{p(k|\theta) \cdot \varphi_k(x)},$$ where $p(k|\theta)$ is some discrete probability ...
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Why is the Fisher information the inverse of the (asymptotic) covariance, and vice versa?

For the multinomial distribution, I had spent a lot of time and effort calculating the inverse of the Fisher information (for a single trial) using things like the Sherman-Morrison formula. But ...
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152 views

Information matrix for exponential distribution (using covariates)

(Reposting after changing some things and the title: standard error for glm: R and theory arent agreeing) I was trying to work out by hand the standard errors for an exponential glm (gamma distn with ...
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1answer
156 views

Calculation in the lower bound Cramer-Rao inequality

I read from http://math.arizona.edu/~jwatkins/N_unbiased.pdf We know the Fisher information is $$I(\theta)=E\bigg[\bigg(\frac{\partial \log f(X) }{\partial \theta}\bigg)^2\bigg]. $$ Cramer-Rao lower ...
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Estimators of the Fisher information, advantages, disadvantages?

I am reading a paper, which defines two estimators of the Fisher information. The first is the well-known negative hessian of the log-likelihood at the ML estimate, the second is $$ \sum_{t=1}^T \frac{...
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Is probability distribution known in parametric inference?

I have two questions about parametric inference. Assume we estimate parameter $\theta$ from a set of measurements. Is probability distribution $p(x|\theta)$ known from the begining? In other words, ...