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


Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s