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Why can we get better asymptotic global estimators even for IID random variables?
Let $X_1,...,X_N$ be IID random variables sampled from a parametrised distribution $p_\theta$, and suppose my goal is to retrieve $\theta$ from these samples.
We know that the MLE provides an ...
- 383
1
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0
answers
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Fisher information $J_y(\theta)$ for transformation $y=F(x)$
Consider a multivariate random variable $x$ with density function $P_x(\theta)$ for a scalar parameter $\theta$. Assume the Fisher information $J_x(\theta)$ is known.
Now, for a transformation (...
- 437