ON THE FISHER INFORMATION FOR THE MEAN OF A GAUSSIAN PROCESS

Authors
PORAT B
Citation
B. Porat, ON THE FISHER INFORMATION FOR THE MEAN OF A GAUSSIAN PROCESS, IEEE transactions on signal processing, 43(8), 1995, pp. 2033-2035
Citations number
2
Categorie Soggetti
Engineering, Eletrical & Electronic
Journal title
IEEE transactions on signal processing → ACNP
ISSN journal
1053587X
Volume
43
Issue
8
Year of publication
1995
Pages
2033 - 2035
Database
ISI
SICI code
1053-587X(1995)43:8<2033:OTFIFT>2.0.ZU;2-7
Abstract
An approximate formula for the Fisher information matrix of a Gaussian process has recently been proposed, for the case of nonzero, parametr ically modeled mean. Here, we show that the relative error in the appr oximation is not guaranteed to converge to zero as the number of measu rements tends to infinity. Therefore, the formula cannot be regarded a s a valid approximation in general.