On computing the expected Fisher information matrix for state-space model parameters
On computing the expected Fisher information matrix for state-space model parameters
复制标题
DOI：
10.1016/0167-7152(95)00031-3
复制
发表时间：
1996-03-01
影响因子：
0.8
通讯作者：
Shumway, RH
中科院分区：
文献类型：
--
作者：
Cavanaugh, JE;Shumway, RH
提出了一种计算状态空间模型参数期望Fisher信息矩阵的通用递归算法。仿真结果的特点是，已知的Fisher信息矩阵对应于简单的状态空间模型，使用观察到的和期望的信息矩阵估计。比较了两种方法的精度。
A general, recursive algorithm is presented for computing the expected Fisher information matrix for state-space model parameters. Simulation results are featured where known Fisher information matrices corresponding to simple state-space models are estimated using both observed and expected information matrices. The accuracy of the two approaches is compared.