In mathematical statistics, the Fisher information (sometimes simply called information) is a way of measuring the amount of information that an observable random variable X carries about an unknown parameter θ of a distribution that models X. Formally, it is the variance of the score, or 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 Ronald Fisher (following some initial results by Francis Ysidro 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.
Statistical systems of a scientific nature (physical, biological, etc.) whose likelihood functions obey shift invariance have been shown to obey maximum Fisher information. The level of the maximum depends upon the nature of the system constraints.
- 1 Definition
- 2 Matrix form
- 3 Properties
- 4 Applications
- 5 Relation to relative entropy
- 6 History
- 7 See also
- 8 Notes
- 9 References
The Fisher information is a way of measuring the amount of information that an observable random variable X carries about an unknown parameter θ upon which the probability of X depends. Let f(X; θ) be the probability density function (or probability mass function) for X conditional on the value of θ. This is also the likelihood function for θ. It describes the probability that we observe a given sample X, given a known value of θ. If f is sharply peaked with respect to changes in θ, it is easy to indicate the “correct” value of θ from the data, or equivalently, that the data X provides a lot of information about the parameter θ. If the likelihood f is flat and spread-out, then it would take many, many samples like X to estimate the actual “true” value of θ that would be obtained using the entire population being sampled. This suggests studying some kind of variance with respect to θ.
Formally, the partial derivative with respect to θ of the natural logarithm of the likelihood function is called the score. Under certain regularity conditions, it can be shown that the expected value (the first moment) of the score is 0:
The variance (which equals the second raw moment) is defined to be the Fisher information:
Note that . A random variable carrying high Fisher information implies that the absolute value of the score is often high. The Fisher information is not a function of a particular observation, as the random variable X has been averaged out.
Thus, the Fisher information may be seen as the curvature of the support curve (the graph of the log-likelihood). Near the maximum likelihood estimate, low Fisher information therefore indicates that the maximum appears "blunt", that is, the maximum is shallow and there are many nearby values with a similar log-likelihood. Conversely, high Fisher information indicates that the maximum is sharp.
Information is additive, in that the information yielded by two independent experiments is the sum of the information from each experiment separately:
This result follows from the elementary fact that if random variables are independent, then the variance of their sum is the sum of their variances. In particular, the information in a random sample of n independent and identically distributed observations is n times the information in a sample of size 1.
The information provided by a sufficient statistic is the same as that of the sample X. This may be seen by using Neyman's factorization criterion for a sufficient statistic. If T(X) is sufficient for θ, then
for some functions g and h. The independence of h(X) from θ implies
and the equality of information then follows from the definition of Fisher information. More generally, if T = t(X) is a statistic, then
Informal derivation of the Cramér–Rao bound
The Cramér–Rao bound states that the inverse of the Fisher information is a lower bound on the variance of any unbiased estimator of θ. H.L. Van Trees (1968) and B. Roy Frieden (2004) provide the following method of deriving the Cramér–Rao bound, a result which describes use of the Fisher information.
Informally, we begin by considering an unbiased estimator . Mathematically, "unbiased" means that
This expression is zero independent of θ, so its partial derivative with respect to θ must also be zero. By the product rule, this partial derivative is also equal to
For each θ, the likelihood function is a probability density function, and therefore . A basic computation implies that
Using these two facts in the above lets us write
Factoring the integrand gives
If we square the expression in the integral, the Cauchy–Schwarz inequality lets us write
The second bracketed factor is defined to be the Fisher Information, while the first bracketed factor is the expected mean-squared error of the estimator . By rearranging, the inequality tells us that
In other words, the precision to which we can estimate θ is fundamentally limited by the Fisher information of the likelihood function.
Single-parameter Bernoulli experiment
A Bernoulli trial is a random variable with two possible outcomes, "success" and "failure", with success having a probability of θ. The outcome can be thought of as determined by a coin toss, with the probability of heads being θ and the probability of tails being 1 − θ.
Let X be a Bernoulli trial. The Fisher information contained in X may be calculated to be
Because Fisher information is additive, the Fisher information contained in n independent Bernoulli trials is therefore
When there are N parameters, so that θ is a N × 1 vector then the Fisher information takes the form of an N × N matrix. This matrix is called the Fisher information matrix (FIM) and has typical element
The FIM is a N × N positive semidefinite symmetric matrix. If it is positive definite, then it defines a Riemannian metric on the N-dimensional parameter space. The topic information geometry uses this to connects Fisher information to differential geometry, and in that context, this metric is known as the Fisher information metric.
Under certain regularity conditions, the Fisher information matrix may also be written as
The result is interesting in several ways:
- It can be derived as the Hessian of the relative entropy.
- It can be understood as a metric induced from the Euclidean metric, after appropriate change of variable.
- In its complex-valued form, it is the Fubini–Study metric.
- It is the key part of the proof of Wilks’ theorem, which allows confidence region estimates for maximum likelihood estimation (for those conditions for which it applies) without needing the Likelihood Principle.
We say that two parameters θi and θj are orthogonal if the element of the ith row and jth column of the Fisher information matrix is zero. Orthogonal parameters are easy to deal with in the sense that their maximum likelihood estimates are independent and can be calculated separately. When dealing with research problems, it is very common for the researcher to invest some time searching for an orthogonal parametrization of the densities involved in the problem.
Multivariate normal distribution
The FIM for a N-variate multivariate normal distribution, has a special form. Let the K-dimensional vector of parameters be and the vector of random normal variables be . Assume that the mean values of these random variables are , and let be the covariance matrix. Then, for , the (m, n) entry of the FIM is:
Note that a special, but very common, case is the one where , a constant. Then
In this case the Fisher information matrix may be identified with the coefficient matrix of the normal equations of least squares estimation theory.
Another special case occurs when the mean and covariance depend on two different vector parameters, say, β and θ. This is especially popular in the analysis of spatial data, which often uses a linear model with correlated residuals. In this case,
The Fisher information depends on the parametrization of the problem. If θ and η are two scalar parametrizations of an estimation problem, and θ is a continuously differentiable function of η, then
where and are the Fisher information measures of η and θ, respectively.
In the vector case, suppose and are k-vectors which parametrize an estimation problem, and suppose that is a continuously differentiable function of , then,
where the (i, j)th element of the k × k Jacobian matrix is defined by
and where is the matrix transpose of
In information geometry, this is seen as a change of coordinates on a Riemannian manifold, and the intrinsic properties of curvature are unchanged under different parametrization. In general, the Fisher information matrix provides a Riemannian metric (more precisely, the Fisher–Rao metric) for the manifold of thermodynamic states, and can be used as an information-geometric complexity measure for a classification of phase transitions, e.g., the scalar curvature of the thermodynamic metric tensor diverges at (and only at) a phase transition point.
In the thermodynamic context, the Fisher information matrix is directly related to the rate of change in the corresponding order parameters. In particular, such relations identify second-order phase transitions via divergences of individual elements of the Fisher information matrix.
Optimal design of experiments
Fisher information is widely used in optimal experimental design. Because of the reciprocity of estimator-variance and Fisher information, minimizing the variance corresponds to maximizing the information.
When the linear (or linearized) statistical model has several parameters, the mean of the parameter estimator is a vector and its variance is a matrix. The inverse of the variance matrix is called the "information matrix". Because the variance of the estimator of a parameter vector is a matrix, the problem of "minimizing the variance" is complicated. Using statistical theory, statisticians compress the information-matrix using real-valued summary statistics; being real-valued functions, these "information criteria" can be maximized.
Traditionally, statisticians have evaluated estimators and designs by considering some summary statistic of the covariance matrix (of an unbiased estimator), usually with positive real values (like the determinant or matrix trace). Working with positive real numbers brings several advantages: If the estimator of a single parameter has a positive variance, then the variance and the Fisher information are both positive real numbers; hence they are members of the convex cone of nonnegative real numbers (whose nonzero members have reciprocals in this same cone). For several parameters, the covariance matrices and information matrices are elements of the convex cone of nonnegative-definite symmetric matrices in a partially ordered vector space, under the Loewner (Löwner) order. This cone is closed under matrix addition and inversion, as well as under the multiplication of positive real numbers and matrices. An exposition of matrix theory and Loewner order appears in Pukelsheim.
The traditional optimality criteria are the information matrix's invariants, in the sense of invariant theory; algebraically, the traditional optimality criteria are functionals of the eigenvalues of the (Fisher) information matrix (see optimal design).
Jeffreys prior in Bayesian statistics
The Fisher information has been used to find bounds on the accuracy of neural codes. In that case, X is typically the joint responses of many neurons representing a low dimensional variable θ (such as a stimulus parameter). In particular the role of correlations in the noise of the neural responses has been studied.
Derivation of physical laws
Relation to relative entropy
Fisher information is related to relative entropy. Consider a family of probability distributions where is a parameter which lies in a range of values. Then the relative entropy, or Kullback–Leibler divergence, between two distributions in the family can be written as
while the Fisher information matrix is:
If is fixed, then the relative entropy between two distributions of the same family is minimized at . For close to , one may expand the previous expression in a series up to second order:
Thus the Fisher information represents the curvature of the relative entropy.
Schervish (1995: §2.3) says the following.
One advantage Kullback-Leibler information has over Fisher information is that it is not affected by changes in parameterization. Another advantage is that Kullback-Leibler information can be used even if the distributions under consideration are not all members of a parametric family.
Another advantage to Kullback-Leibler information is that no smoothness conditions on the densities … are needed.
The Fisher information was discussed by several early statisticians, notably F. Y. Edgeworth. For example, Savage says: "In it [Fisher information], he [Fisher] was to some extent anticipated (Edgeworth 1908–9 esp. 502, 507–8, 662, 677–8, 82–5 and references he [Edgeworth] cites including Pearson and Filon 1898 [. . .])." There are a number of early historical sources and a number of reviews of this early work.
- Observed information
- Fisher information metric
- Formation matrix
- Information geometry
- Jeffreys prior
- Cramér–Rao bound
Other measures employed in information theory:
- Lehmann & Casella, p. 115
- Lucien Le Cam (1986) Asymptotic Methods in Statistical Decision Theory: Pages 336 and 618–621 (von Mises and Bernstein).
- Frieden & Gatenby (2013)
- Suba Rao. "Lectures on statistical inference" (PDF).
- Lehmann & Casella, eq. (2.5.16), Lemma 5.3, p.116.
- Mardia, K. V.; Marshall, R. J. (1984). "Maximum likelihood estimation of models for residual covariance in spatial regression". Biometrika. 71 (1): 135–46. doi:10.1093/biomet/71.1.135.
- Lehmann & Casella, eq. (2.5.11).
- Lehmann & Casella, eq. (2.6.16)
- Janke, W.; Johnston, D. A.; Kenna, R. (2004). "Information Geometry and Phase Transitions". Physica A. 336 (1–2): 181. doi:10.1016/j.physa.2004.01.023.
- Prokopenko, M.; Lizier, Joseph T.; Lizier, J. T.; Obst, O.; Wang, X. R. (2011). "Relating Fisher information to order parameters". Physical Review E. 84 (4): 041116. doi:10.1103/PhysRevE.84.041116.
- Pukelsheim, Friedrick (1993). Optimal Design of Experiments. New York: Wiley. ISBN 0-471-61971-X.
- Bernardo, Jose M.; Smith, Adrian F. M. (1994). Bayesian Theory. New York: John Wiley & Sons. ISBN 0-471-92416-4.
- Streater, R. F. (2007). Lost Causes in and beyond Physics. Springer. p. 69. ISBN 3-540-36581-8.
- Gourieroux & Montfort (1995), page 87
- Savage (1976)
- Savage(1976), page 156
- Edgeworth (September 1908, December 1908)
- Pratt (1976)
- Stigler (1978, 1986, 1999)
- Hald (1998, 1999)
- Edgeworth, F. Y. (Jun 1908). "On the Probable Errors of Frequency-Constants". Journal of the Royal Statistical Society. 71 (2): 381–397. doi:10.2307/2339461. JSTOR 2339461.
- Edgeworth, F. Y. (Sep 1908). "On the Probable Errors of Frequency-Constants (Contd.)". Journal of the Royal Statistical Society. 71 (3): 499–512. doi:10.2307/2339293. JSTOR 2339293.
- Edgeworth, F. Y. (Dec 1908). "On the Probable Errors of Frequency-Constants (Contd.)". Journal of the Royal Statistical Society. 71 (4): 651–678. doi:10.2307/2339378. JSTOR 2339378.
- Frieden, B. R. (2004) Science from Fisher Information: A Unification. Cambridge Univ. Press. ISBN 0-521-00911-1.
- Frieden, B. Roy; Gatenby, Robert A. (2013). "Principle of maximum Fisher information from Hardy's axioms applied to statistical systems". Physical Review E. 88 (4). arXiv: . doi:10.1103/PhysRevE.88.042144.
- Hald, A. (May 1999). "On the History of Maximum Likelihood in Relation to Inverse Probability and Least Squares". Statistical Science. 14 (2): 214–222. doi:10.1214/ss/1009212248. JSTOR 2676741.
- Hald, A. (1998). A History of Mathematical Statistics from 1750 to 1930. New York: Wiley. ISBN 0-471-17912-4.
- Lehmann, E. L.; Casella, G. (1998). Theory of Point Estimation (2nd ed.). Springer. ISBN 0-387-98502-6.
- Le Cam, Lucien (1986). Asymptotic Methods in Statistical Decision Theory. Springer-Verlag. ISBN 0-387-96307-3.
- Pratt, John W. (May 1976). "F. Y. Edgeworth and R. A. Fisher on the Efficiency of Maximum Likelihood Estimation". Annals of Statistics. 4 (3): 501–514. doi:10.1214/aos/1176343457. JSTOR 2958222.
- Savage, L. J. (May 1976). "On Rereading R. A. Fisher". Annals of Statistics. 4 (3): 441–500. doi:10.1214/aos/1176343456. JSTOR 2958221.
- Schervish, Mark J. (1995). Theory of Statistics. New York: Springer. ISBN 0-387-94546-6.
- Stigler, S. M. (1986). The History of Statistics: The Measurement of Uncertainty before 1900. Harvard University Press. ISBN 0-674-40340-1.[page needed]
- Stigler, S. M. (1978). "Francis Ysidro Edgeworth, Statistician". Journal of the Royal Statistical Society, Series A. 141 (3): 287–322. doi:10.2307/2344804. JSTOR 2344804.
- Stigler, S. M. (1999). Statistics on the Table: The History of Statistical Concepts and Methods. Harvard University Press. ISBN 0-674-83601-4.[page needed]
- Van Trees, H. L. (1968). Detection, Estimation, and Modulation Theory, Part I. New York: Wiley. ISBN 0-471-09517-6.