## Fisher’s lost information

Posted in Books, Kids, pictures, Statistics, Travel with tags , , , , , , , on February 11, 2019 by xi'an

After a post on X validated and a good discussion at work, I came to the conclusion [after many years of sweeping the puzzle under the carpet] that the (a?) Fisher information obtained for the Uniform distribution U(0,θ) as θ⁻¹ is meaningless. Indeed, there are many arguments:

1. The lack of derivability of the indicator function for x=θ is a non-issue since the derivative is defined almost everywhere.
2. In many textbooks, the Fisher information θ⁻² is derived from the Fréchet-Darmois-Cramèr-Rao inequality, which does not apply for the Uniform U(0,θ) distribution.
3. One connected argument for the expression of the Fisher information as the expectation of the squared score is that it is the variance of the score, since its expectation is zero. Except that it is not zero for the Uniform U(0,θ) distribution.
4. For the same reason, the opposite of the second derivative of the log-likelihood is not equal to the expectation of the squared score. It is actually -θ⁻²!
5. Looking at the Taylor expansion justification of the (observed) Fisher information, expanding the log-likelihood around the maximum likelihood estimator does not work since the maximum likelihood estimator does not cancel the score.
6. When computing the Fisher information for an n-sample rather than a 1-sample, the information is n²θ⁻², rather than nθ⁻².
7. Since the speed of convergence of the maximum likelihood estimator is of order n⁻², the central limit theorem does not apply and the limiting variance of the maximum likelihood estimator is not the Fisher information.

## efficiency and the Fréchet-Darmois-Cramèr-Rao bound

Posted in Books, Kids, Statistics with tags , , , , , , , , , , , on February 4, 2019 by xi'an

Following some entries on X validated, and after grading a mathematical statistics exam involving Cramèr-Rao, or Fréchet-Darmois-Cramèr-Rao to include both French contributors pictured above, I wonder as usual at the relevance of a concept of efficiency outside [and even inside] the restricted case of unbiased estimators. The general (frequentist) version is that the variance of an estimator δ of [any transform of] θ with bias b(θ) is

I(θ)⁻¹ (1+b'(θ))²

while a Bayesian version is the van Trees inequality on the integrated squared error loss

(E(I(θ))+I(π))⁻¹

where I(θ) and I(π) are the Fisher information and the prior entropy, respectively. But this opens a whole can of worms, in my opinion since

• establishing that a given estimator is efficient requires computing both the bias and the variance of that estimator, not an easy task when considering a Bayes estimator or even the James-Stein estimator. I actually do not know if any of the estimators dominating the standard Normal mean estimator has been shown to be efficient (although there exist results for closed form expressions of the James-Stein estimator quadratic risk, including one of mine the Canadian Journal of Statistics published verbatim in 1988). Or is there a result that a Bayes estimator associated with the quadratic loss is by default efficient in either the first or second sense?
• while the initial Fréchet-Darmois-Cramèr-Rao bound is restricted to unbiased estimators (i.e., b(θ)≡0) and unable to produce efficient estimators in all settings but for the natural parameter in the setting of exponential families, moving to the general case means there exists one efficiency notion for every bias function b(θ), which makes the notion quite weak, while not necessarily producing efficient estimators anyway, the major impediment to taking this notion seriously;
• moving from the variance to the squared error loss is not more “natural” than using any [other] convex combination of variance and squared bias, creating a whole new class of optimalities (a grocery of cans of worms!);
• I never got into the van Trees inequality so cannot say much, except that the comparison between various priors is delicate since the integrated risks are against different parameter measures.