Translator Disclaimer
November 2018 On the time-dependent Fisher information of a density function
Omid Kharazmi, Majid Asadi
Braz. J. Probab. Stat. 32(4): 795-814 (November 2018). DOI: 10.1214/17-BJPS366

Abstract

Fisher information is a very important and fundamental criterion in statistical inference especially in optimal and large sample studies in estimation theory. It also plays a key role in physics, thermodynamic, information theory and other applications. In the literature there have been defined two forms of Fisher information: one for the parameters of a distribution function and one for the density function of a distribution. In this paper, we consider a nonnegative continuous random (lifetime) variable $X$ and define a time-dependent Fisher information for density function of the residual random variable associated to $X$. We also propose a time-dependent version of Fisher information distance (relative Fisher information) between the densities of two nonnegative random variables. Several properties of the proposed measures and their relations to other statistical measures are investigated. To illustrate the results various examples are also provided.

Citation

Download Citation

Omid Kharazmi. Majid Asadi. "On the time-dependent Fisher information of a density function." Braz. J. Probab. Stat. 32 (4) 795 - 814, November 2018. https://doi.org/10.1214/17-BJPS366

Information

Received: 1 March 2017; Accepted: 1 May 2017; Published: November 2018
First available in Project Euclid: 17 August 2018

zbMATH: 06979601
MathSciNet: MR3845030
Digital Object Identifier: 10.1214/17-BJPS366

Rights: Copyright © 2018 Brazilian Statistical Association

JOURNAL ARTICLE
20 PAGES

This article is only available to subscribers.
It is not available for individual sale.
+ SAVE TO MY LIBRARY

SHARE
Vol.32 • No. 4 • November 2018
Back to Top