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Concept
Fisher information
Summary
In mathematical statistics, the Fisher information (sometimes simply called information) is a way of measuring the amount of information that an observable random variable X carries about an unknown parameter θ of a distribution that models X. Formally, it is the variance of the score, or the expected value of the observed information.
The role of the Fisher information in the asymptotic theory of maximum-likelihood estimation was emphasized by the statistician Ronald Fisher (following some initial results by Francis Ysidro Edgeworth). The Fisher information matrix is used to calculate the covariance matrices associated with maximum-likelihood estimates. It can also be used in the formulation of test statistics, such as the Wald test.
In Bayesian statistics, the Fisher information plays a role in the derivation of non-informative prior distributions according to Jeffreys' rule. It also appears as the large-sample covariance of the posterior distribution, provided that the prior is sufficiently smooth (a result known as Bernstein–von Mises theorem, which was anticipated by Laplace for exponential families). The same result is used when approximating the posterior with Laplace's approximation, where the Fisher information appears as the covariance of the fitted Gaussian.
Statistical systems of a scientific nature (physical, biological, etc.) whose likelihood functions obey shift invariance have been shown to obey maximum Fisher information. The level of the maximum depends upon the nature of the system constraints.
The Fisher information is a way of measuring the amount of information that an observable random variable carries about an unknown parameter upon which the probability of depends. Let be the probability density function (or probability mass function) for conditioned on the value of . It describes the probability that we observe a given outcome of , given a known value of . If is sharply peaked with respect to changes in , it is easy to indicate the "correct" value of from the data, or equivalently, that the data provides a lot of information about the parameter .
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