Fisher information of scale

DOI10.1016/J.SPL.2010.08.015zbMATH Open1456.62041arXiv1005.0983OpenAlexW2069205386MaRDI QIDQ613178FDOQ613178

P. Ruckdeschel, H. Rieder

Publication date: 20 December 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: Motivated by the information bound for the asymptotic variance of M-estimates for scale, we define Fisher information of scale of any distribution function F on the real line as a suitable supremum. In addition, we enforce equivariance by a scale factor. Fisher information of scale is weakly lower semicontinuous and convex. It is finite iff the usual assumptions on densities hold, under which Fisher information of scale is classically defined, and then both classical and our notions agree. Fisher information of scale finite is also equivalent to L_2-differentiability and local asymptotic normality, respectively, of the scale model induced by F.

Full work available at URL: https://arxiv.org/abs/1005.0983

zbMATH Keywords

LAN\(L_{2}\)-differentiabilityabsolute continuity of measures and functionsFisher information boundone-dimensional scale

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35)

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• Asymptotic Statistics
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Cited In (2)

• Bounded influence estimation for regression and scale
• Yet another breakdown point notion: EFSBP. Illustrated at scale-shape models

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