On the Fisher Information of Discretized Data

Klaus Pötzelberger, Klaus Felsenstein

Publication: Working/Discussion PaperWU Working Paper

Abstract

In this paper we study the loss of Fisher information in approximating a continous distribution by a multinominal distribution coming from a partition of the sample space into a finite number of intervals. We describe and characterize the Fisher information as a function of the partition chosen especially for location parameters. For a small number of intervals the consequences of the choice is demonstrated by instructive examples. For increasing number of individuals we give the asymptotically optimal partition. (author's abstract)
Original languageEnglish
Place of PublicationVienna
PublisherDepartment of Statistics and Mathematics, WU Vienna University of Economics and Business
Publication statusPublished - 1991

Publication series

NameForschungsberichte / Institut für Statistik
No.12

WU Working Paper Series

  • Forschungsberichte / Institut für Statistik

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