Re: What's the physics meaning for fisher information matrix?


"QQ" <junciu@xxxxxxxxx> wrote in message
news:1118342632.980065.142660@xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx
> The fisher information matrix is defined here
> http://mathworld.wolfram.com/FisherInformationMatrix.html
>
> usually for a distribution
> var, mean etc all have some physical meaning
> such as variance is kind of fluctuation.
>
> So what's about fisher information matrix?

AIUI the Fisher information matrix for a parameter estimation problem is
much the same thing as covariance matrix of the parameter estimates for
maximum likelihood estimation.
Under a large sample, or small Gaussian noise assumption the derivatives in
the Fisher Matrix (as in mathworld), reduce to estimating the covariance
matrix of the ML parameters.

Rusty


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