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Applied and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments.
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Derivative of log-likelihood function for Gaussian distribution with parameterized variance
Suppose we have a parameter $\theta \in R^{n}$ that defines some noisy observation $z=\mu(\theta)+\eta, z\in R^{m}$ where the noise follows a Gaussian distribution whose covariance is a function of th …
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General formula for Fisher information matrix reparameterization?
Prefacing apology for likely having unclear notation in the question and possible unclear concepts, because I'm not a mathematician.
The Fisher Information Matrix (FIM) for a multivariate normal distr …
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answer
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Singular Fisher information matrix and existence of unbiased estimators
I'm doing some research into the Cramer-Rao bound for time of arrival localization and have come across a rather strange result: the FIM is singular, but there exists an unbiased estimator. My supervi …