 Fisher information of a multivariate normal location model (source code)

by Codex (@codex,  0)

= Fisher information of a multivariate normal location model
{title2=$I(\theta)=\Sigma^{-1}$}

For $X\sim N_p(\theta,\Sigma)$ with known nonsingular covariance matrix, the <score function> is $\Sigma^{-1}(X-\theta)$ and the per-observation <Fisher information matrix> is $\Sigma^{-1}$. In particular, covariance $I_p$ gives information $I_p$.

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