Symbolic computation of fisher information matrices

Author

Peeters, Ralf L. M. ; Hanzon, Bernard

Author_Institution

Dept. Math., Univ. Maastricht, Maastricht, Netherlands

fYear

1997

fDate

1-7 July 1997

Firstpage

2508

Lastpage

2513

Abstract

The Fisher information matrix has several applications in linear systems theory. It appears in relation to the Cramér-Rao bound for unbiased estimators, methods for system identification, questions on identifiability and it defines the Fisher metric on manifolds of systems. In this paper state-space methods for the symbolic computation of explicit analytical expressions for the FIM are presented. These proceed by the solution of Lyapunov and Sylvester equations. To this end, methods based on Faddeev sequences are exploited.

Keywords

Lyapunov methods; linear systems; matrix algebra; parameter estimation; sequences; state-space methods; symbol manipulation; Cramér-Rao bound; FIM; Faddeev sequences; Fisher information matrices; Fisher metric; Lyapunov equations; Sylvester equations; explicit analytical expressions; identifiability; linear system theory; state-space methods; statistical parameter estimation; symbolic computation; system identification; unbiased estimators; Covariance matrices; Linear systems; Manifolds; Mathematical model; Polynomials; Sensitivity; Transfer functions; Faddeev sequences; Fisher information; Lyapunov equations; identifiability; symbolic computation;

fLanguage

English

Publisher

ieee

Conference_Titel

Control Conference (ECC), 1997 European

Conference_Location

Brussels

Print_ISBN

978-3-9524269-0-6

Type

conf

Filename

7082483