Matrix Algebraic Properties of the Fisher Information Matrix of Stationary Processes

• Published in: Entropy (Basel, Switzerland) Vol. 16; no. 4; pp. 2023 - 2055
• Main Author: Klein, André
• Format: Journal Article
• Language: English
• Published: Basel MDPI AG 01.04.2014
• Subjects: Algebra; Asymptotic properties; Bezout matrix; Entropy; Fisher information matrix; Inequalities; Mathematical analysis; Matrices (mathematics); matrix resultant; Scalars; stationary process; Statistics; Stein equation; Sylvester matrix; tensor Sylvester matrix; Vandermonde matrix
• ISSN: 1099-4300; 1099-4300
• DOI: 10.3390/e16042023

In this survey paper, a summary of results which are to be found in a series of papers, is presented. The subject of interest is focused on matrix algebraic properties of the Fisher information matrix (FIM) of stationary processes. The FIM is an ingredient of the Cram´er-Rao inequality, and belongs to the basics of asymptotic estimation theory in mathematical statistics. The FIM is interconnected with the Sylvester, Bezout and tensor Sylvester matrices. Through these interconnections it is shown that the FIM of scalar and multiple stationary processes fulfill the resultant matrix property. A statistical distance measure involving entries of the FIM is presented. In quantum information, a different statistical distance measure is set forth. It is related to the Fisher information but where the information about one parameter in a particular measurement procedure is considered. The FIM of scalar stationary processes is also interconnected to the solutions of appropriate Stein equations, conditions for the FIM to verify certain Stein equations are formulated. The presence of Vandermonde matrices is also emphasized.