Under regularity, the variance of any unbiased estimator θ̂ of a parameter θ based on n i.i.d. samples is bounded below by 1/(n·I(θ)), where I(θ) = E[(∂_θ log f(X;θ))²] is Fisher information per observation. Saturated asymptotically by…
Under regularity, the variance of any unbiased estimator θ̂ of a parameter θ based on n i.i.d. samples is bounded below by 1/(n·I(θ)), where I(θ) = E[(∂_θ log f(X;θ))²] is Fisher information per observation. Saturated asymptotically by…