Computation of the Fisher information matrix for SISO models
نویسندگان
چکیده
منابع مشابه
Computation of the Fisher information matrix for SISO models
The paper presents closed form expressions and an algorithm for obtaining the Fisher information matrix of Gaussian single input single output (SISO) time series models. It enables the computation of the asymptotic covariance matrix of maximum likelihood estimators of the parameters. The procedure makes use of the autocovariance function of one or more autoregressive processes. Under certain co...
متن کاملthe application of multivariate probit models for conditional claim-types (the case study of iranian car insurance industry)
هدف اصلی نرخ گذاری بیمه ای تعیین نرخ عادلانه و منطقی از دیدگاه بیمه گر و بیمه گذار است. تعین نرخ یکی از مهم ترین مسایلی است که شرکتهای بیمه با آن روبرو هستند، زیرا تعیین نرخ اصلی ترین عامل در رقابت بین شرکتها است. برای تعیین حق بیمه ابتدا می باید مقدار مورد انتظار ادعای خسارت برای هر قرارداد بیمه را برآورد کرد. روش عمومی مدل سازی خسارتهای عملیاتی در نظر گرفتن تواتر و شدت خسارتها می باشد. اگر شر...
15 صفحه اولMonte Carlo Computation of the Fisher Information Matrix in Nonstandard Settings
The Fisher information matrix summarizes the amount of information in the data relative to the quantities of interest. There are many applications of the information matrix in modeling, systems analysis, and estimation, including confidence region calculation, input design, prediction bounds, and “noninformative” priors for Bayesian analysis. This article reviews some basic principles associate...
متن کاملCalculation of the Fisher information matrix for multidimensional data sets
Data sets that are acquired in many practical systems can be described as the output of a multidimensional linear separable-denominator system with Gaussian measurement noise. An important example is nuclear magnetic resonance (NMR) spectroscopy. In NMR spectroscopy, high-accuracy parameter estimation is of central importance. A classical result on the Cramér–Rao lower bound states that the inv...
متن کاملThe Fisher Information Matrix: Performance Measure and Monte Carlo-Based Computation
The Fisher information matrix summarizes the amount of information in the data relative to the quantities of interest. There are many applications of the information matrix in modeling, systems analysis, and estimation, including confidence region calculation, input design, prediction bounds, and “noninformative” priors for Bayesian analysis. This paper reviews some basic principles associated ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: IEEE Transactions on Signal Processing
سال: 1994
ISSN: 1053-587X
DOI: 10.1109/78.277866