Title :
On the Fisher information for the mean of a Gaussian process
Author_Institution :
Dept. of Electr. Eng., Technion-Israel Inst. of Technol., Haifa, Israel
fDate :
8/1/1995 12:00:00 AM
Abstract :
An approximate formula for the Fisher information matrix of a Gaussian process has previously been proposed, for the case of a nonzero, parametrically modeled mean. The present author shows that the relative error in the approximation is not guaranteed to converge to zero as the number of measurements tends to infinity. Therefore, the formula cannot be regarded as a valid approximation in general
Keywords :
Gaussian processes; autoregressive processes; discrete systems; error analysis; function approximation; information theory; random processes; signal processing; Fisher information matrix; Gaussian process; approximate formula; relative error; Approximation error; Covariance matrix; Discrete Fourier transforms; Gaussian processes; Random processes;
Journal_Title :
Signal Processing, IEEE Transactions on
