Abstract
Some versions of the Fisher information matrix and the Cramer-Rao inequality are considered. We study properties of the Fisher matrix such as continuity and convexity and use the Cramer-Rao functional as a variational tool to prove convergence to Gaussian laws. These concepts are generalized to non-Gaussian limiting laws.
Citation
Eduardo Mayer-Wolf. "The Cramer-Rao Functional and Limiting Laws." Ann. Probab. 18 (2) 840 - 850, April, 1990. https://doi.org/10.1214/aop/1176990861
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