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On the Fisher Information of Discretized Data

Pötzelberger, Klaus and Felsenstein, Klaus (1991) On the Fisher Information of Discretized Data. Forschungsberichte / Institut für Statistik, 12. Department of Statistics and Mathematics, WU Vienna University of Economics and Business, Vienna.

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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)

Item Type: Paper
Keywords: Fisher Information / Discretizing Data / Optimal Design / Multinominal Approximation
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 11 Jul 2006 08:33
Last Modified: 15 Sep 2010 00:51
URI: http://epub.wu.ac.at/id/eprint/1700


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