How does one usually evaluate the expected value of observed Fisher information?
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How does one usually evaluate the expected value of observed Fisher information?
That is what does
$$mathcal{I}(theta)=-Eleft[frac{partial^2}{partialtheta^2}l(X,theta)midthetaright]$$
evaluate to?
Particularly, how is $E$ treated? How does $E$ apply to the derivatives?
fisher-information
asked Nov 17 at 16:28
mavavilj
2,6341932
add a comment |
up vote
0
down vote
favorite
How does one usually evaluate the expected value of observed Fisher information?
That is what does
$$mathcal{I}(theta)=-Eleft[frac{partial^2}{partialtheta^2}l(X,theta)midthetaright]$$
evaluate to?
Particularly, how is $E$ treated? How does $E$ apply to the derivatives?
fisher-information
asked Nov 17 at 16:28
mavavilj
2,6341932
Usually in an exercise you calculate the quantity inside the expected value (thus the derivatives of the maximum likelihood estimator) and then you use the information given (distributions of variables and estimation rules) to calculate it.
– Rebellos
Nov 17 at 16:32
@Rebellos That's observed Fisher information? I'm asking expected.
– mavavilj
Nov 17 at 16:32
There's a lemma which allows interchanging derivatives and $E$: math.stackexchange.com/a/1986477/248602
– mavavilj
Nov 17 at 16:34
If the quantity within brackets is a random variable, where is the issue with taking expectation of that quantity as usual?
– StubbornAtom
Nov 17 at 19:17
add a comment |
up vote
0
down vote
favorite
up vote
0
down vote
favorite
How does one usually evaluate the expected value of observed Fisher information?
That is what does
$$mathcal{I}(theta)=-Eleft[frac{partial^2}{partialtheta^2}l(X,theta)midthetaright]$$
evaluate to?
Particularly, how is $E$ treated? How does $E$ apply to the derivatives?
fisher-information
asked Nov 17 at 16:28
mavavilj
2,6341932
How does one usually evaluate the expected value of observed Fisher information?
That is what does
$$mathcal{I}(theta)=-Eleft[frac{partial^2}{partialtheta^2}l(X,theta)midthetaright]$$
evaluate to?
Particularly, how is $E$ treated? How does $E$ apply to the derivatives?
fisher-information
fisher-information
asked Nov 17 at 16:28
mavavilj
2,6341932
asked Nov 17 at 16:28
mavavilj
2,6341932
edited Nov 17 at 16:37
asked Nov 17 at 16:28
mavavilj
2,6341932
asked Nov 17 at 16:28
mavavilj
2,6341932
asked Nov 17 at 16:28
mavavilj
2,6341932
2,6341932
Usually in an exercise you calculate the quantity inside the expected value (thus the derivatives of the maximum likelihood estimator) and then you use the information given (distributions of variables and estimation rules) to calculate it.
– Rebellos
Nov 17 at 16:32
@Rebellos That's observed Fisher information? I'm asking expected.
– mavavilj
Nov 17 at 16:32
There's a lemma which allows interchanging derivatives and $E$: math.stackexchange.com/a/1986477/248602
– mavavilj
Nov 17 at 16:34
If the quantity within brackets is a random variable, where is the issue with taking expectation of that quantity as usual?
– StubbornAtom
Nov 17 at 19:17
add a comment |
Usually in an exercise you calculate the quantity inside the expected value (thus the derivatives of the maximum likelihood estimator) and then you use the information given (distributions of variables and estimation rules) to calculate it.
– Rebellos
Nov 17 at 16:32
@Rebellos That's observed Fisher information? I'm asking expected.
– mavavilj
Nov 17 at 16:32
There's a lemma which allows interchanging derivatives and $E$: math.stackexchange.com/a/1986477/248602
– mavavilj
Nov 17 at 16:34
If the quantity within brackets is a random variable, where is the issue with taking expectation of that quantity as usual?
– StubbornAtom
Nov 17 at 19:17
Usually in an exercise you calculate the quantity inside the expected value (thus the derivatives of the maximum likelihood estimator) and then you use the information given (distributions of variables and estimation rules) to calculate it.
– Rebellos
Nov 17 at 16:32
Usually in an exercise you calculate the quantity inside the expected value (thus the derivatives of the maximum likelihood estimator) and then you use the information given (distributions of variables and estimation rules) to calculate it.
– Rebellos
Nov 17 at 16:32
@Rebellos That's observed Fisher information? I'm asking expected.
– mavavilj
Nov 17 at 16:32
@Rebellos That's observed Fisher information? I'm asking expected.
– mavavilj
Nov 17 at 16:32
There's a lemma which allows interchanging derivatives and $E$: math.stackexchange.com/a/1986477/248602
– mavavilj
Nov 17 at 16:34
There's a lemma which allows interchanging derivatives and $E$: math.stackexchange.com/a/1986477/248602
– mavavilj
Nov 17 at 16:34
If the quantity within brackets is a random variable, where is the issue with taking expectation of that quantity as usual?
– StubbornAtom
Nov 17 at 19:17
If the quantity within brackets is a random variable, where is the issue with taking expectation of that quantity as usual?
– StubbornAtom
Nov 17 at 19:17
add a comment |
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Usually in an exercise you calculate the quantity inside the expected value (thus the derivatives of the maximum likelihood estimator) and then you use the information given (distributions of variables and estimation rules) to calculate it.
– Rebellos
Nov 17 at 16:32
@Rebellos That's observed Fisher information? I'm asking expected.
– mavavilj
Nov 17 at 16:32
There's a lemma which allows interchanging derivatives and $E$: math.stackexchange.com/a/1986477/248602
– mavavilj
Nov 17 at 16:34
If the quantity within brackets is a random variable, where is the issue with taking expectation of that quantity as usual?
– StubbornAtom
Nov 17 at 19:17