The Fisher information matrix for linear systems.

DOI10.1016/S0167-6911(02)00190-1zbMath1106.93338OpenAlexW1968304884WikidataQ124870166 ScholiaQ124870166MaRDI QIDQ1853419

Raimund J. Ober

Publication date: 21 January 2003

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6911(02)00190-1

zbMATH Keywords

Lyapunov equationFisher information matrixSystem identificationParameter estimationCramer Rao lower boundLinear non-stationary system

Mathematics Subject Classification ID

System identification (93B30) Estimation and detection in stochastic control theory (93E10) Statistical aspects of information-theoretic topics (62B10)

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Cites Work

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• Symbolic computation of Fisher information matrices for parametrized state-space systems
• On Fisher's information matrix of an ARMAX process and Sylvester's resultant matrices
• A Faddeev sequence method for solving Lyapunov and Sylvester equations

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