Fisher Information in Order Statistics
作者:
Sangun Park,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1996)
卷期:
Volume 91,
issue 433
页码: 385-390
ISSN:0162-1459
年代: 1996
DOI:10.1080/01621459.1996.10476699
出版商: Taylor & Francis Group
关键词: Information plot;Recurrence relation;Wald's principle
数据来源: Taylor
摘要:
When we havenindependently and identically distributed observations, it is an interesting question how the Fisher information is distributed among order statistics. The recipe for the Fisher information in order statistics is easy, but the detailed calculation has been known to be complicated. An indirect approach, using a decomposition of the Fisher information in order statistics, simplifies the calculation. Some recurrence relations for the Fisher information in order statistics are derived that facilitate the calculation. The Fisher information in the firstrorder statistics is anrmultiple integral, but it can be simplified to just a double integral by using the decomposition. A recurrence relation further simplifies the double integral to a sum of single integrals. An “information plot” is suggested, from which we can read at once the Fisher information in any set of consecutive order statistics for a parametric distribution.
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