Fisher information of scale

DOI10.1016/J.SPL.2010.08.015MaRDI QIDQ613178zbMATH OpenOpenAlexFDO

Authors P. Ruckdeschel, H. Rieder

Publication date 20 December 2010

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

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)

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.

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Cited in

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