distr_fisher: Compute Fisher Information

In gasmodel: Generalized Autoregressive Score Models

Compute Fisher Information

Description

A function computing Fisher information, its inverse, or its inverse square root for a given distribution.

Usage

distr_fisher(f, distr, param = NULL, par_link = NULL, trans = NULL)

Arguments

f	Parameters. For the same parameters for all observations, a numeric vector. For individual parameters for each observation, a numeric matrix with rows corresponding to observations.
distr	A distribution.
param	A parametrization of the distribution.
par_link	An optional logical vector indicating whether the logarithmic/logistic link should be applied to restricted parameters in order to obtain unrestricted values. Defaults to keeping the original link for all parameters.
trans	An optional transformation of the Fisher information. The supported transformations are the inverse of the Fisher information (trans = "inv") and the inverse square root of the Fisher information (trans = "inv_sqrt").

Value

The (transformed) Fisher information.

See Also

distr()

Examples

# Fisher information for the negative binomial distribution
distr_fisher(f = c(0.5, 1.2), distr = "negbin")

# Fisher information for the multivariate normal distribution
distr_fisher(f = c(0, 0, 1, 1, 0.5), distr = "mvnorm")

gasmodel documentation built on Aug. 30, 2023, 1:09 a.m.