Title :
Symbolic computation of fisher information matrices
Author :
Peeters, Ralf L. M. ; Hanzon, Bernard
Author_Institution :
Dept. Math., Univ. Maastricht, Maastricht, Netherlands
Abstract :
The Fisher information matrix has several applications in linear systems theory. It appears in relation to the Cramér-Rao bound for unbiased estimators, methods for system identification, questions on identifiability and it defines the Fisher metric on manifolds of systems. In this paper state-space methods for the symbolic computation of explicit analytical expressions for the FIM are presented. These proceed by the solution of Lyapunov and Sylvester equations. To this end, methods based on Faddeev sequences are exploited.
Keywords :
Lyapunov methods; linear systems; matrix algebra; parameter estimation; sequences; state-space methods; symbol manipulation; Cramér-Rao bound; FIM; Faddeev sequences; Fisher information matrices; Fisher metric; Lyapunov equations; Sylvester equations; explicit analytical expressions; identifiability; linear system theory; state-space methods; statistical parameter estimation; symbolic computation; system identification; unbiased estimators; Covariance matrices; Linear systems; Manifolds; Mathematical model; Polynomials; Sensitivity; Transfer functions; Faddeev sequences; Fisher information; Lyapunov equations; identifiability; symbolic computation;
Conference_Titel :
Control Conference (ECC), 1997 European
Conference_Location :
Brussels
Print_ISBN :
978-3-9524269-0-6
