In mathematical statistics and information theory, the Fisher information (sometimes simply called information) can be defined as the variance of the score, or as the expected value of the observed information. In Bayesian statistics, the asymptotic distribution of the posterior mode depends on the Fisher information and not on the prior (according to the Bernstein–von Mises theorem, which was anticipated by Laplace for exponential families). The role of the Fisher information in the asymptotic theory of maximum-likelihood estimation was emphasized by the statistician R.A. Fisher (following some initial results by F. Y. Edgeworth). The Fisher information is also used in the calculation of the Jeffreys prior, which is used in Bayesian statistics.
The Fisher-information matrix is used to calculate the covariance matrices associated with maximum-likelihood estimates. It can also be used in the formulation of test statistics, such as the Wald test.
Read more about Fisher Information: History, Definition, Matrix Form, Distinction From The Hessian of The Entropy
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