Some versions of the Fisher information matrix and the Cramer-Rao inequality are considered. We study properties of the Fisher matrix such as continuity and convexity and use the Cramer-Rao functional as a variational tool to prove convergence to Gaussian laws. These concepts are generalized to non-Gaussian limiting laws.
Publié le : 1990-04-14
Classification:
Fisher matrix,
Cramer-Rao functional,
convergence in variation,
60F05,
49B50
@article{1176990861,
author = {Mayer-Wolf, Eduardo},
title = {The Cramer-Rao Functional and Limiting Laws},
journal = {Ann. Probab.},
volume = {18},
number = {4},
year = {1990},
pages = { 840-850},
language = {en},
url = {http://dml.mathdoc.fr/item/1176990861}
}
Mayer-Wolf, Eduardo. The Cramer-Rao Functional and Limiting Laws. Ann. Probab., Tome 18 (1990) no. 4, pp. 840-850. http://gdmltest.u-ga.fr/item/1176990861/