Where is the Fisher information in an ordered sample?

Citation
G. Zheng et Jl. Gastwirth, Where is the Fisher information in an ordered sample?, STAT SINICA, 10(4), 2000, pp. 1267-1280
Citations number
29
Categorie Soggetti
Mathematics
Journal title
STATISTICA SINICA
ISSN journal
10170405 → ACNP
Volume
10
Issue
4
Year of publication
2000
Pages
1267 - 1280
Database
ISI
SICI code
1017-0405(200010)10:4<1267:WITFII>2.0.ZU;2-Z
Abstract
Suppose we have a random sample of size n with multiple censoring. The exac t Fisher information in the data is derived and expressed in terms of matri ces when each block of censored data contains at least two order statistics . The results are applied to determine how much Fisher information about th e location (scale) parameter is contained in the middle (two tails) of an o rdered sample. The results show that, for Cauchy, Laplace, logistic, and no rmal distributions, the middle 30% (extreme half) of the ordered data conta ins more than 80% of the Fisher information about the location (scale) para meter. These results provide insight into the behavior of two well-known ro bust linear estimators of the location parameter.