Information Matrix Equality

Posted: May 13, 2014 in Educational Material
Tags: , , ,

Equality is DeceitThe Information Matrix Equality is a very convenient property of a joint density function. It permits us to simplify the calculation of the asymptotic variance-covariance matrix of the maximum likelihood estimator. Alas, and especially in cases with observational data, it should not be expected to hold. Nevertheless its proof is a beauty -and its failure a proof that the world is unjustly cruel. I present both, together with a few words on the quasi-maximum likelihood estimator, in the following downloadable note:

The Information Matrix Equality

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