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On the Fisher information matrix for multivariate elliptically contoured distributions

Besson, Olivier and Abramovich, Yuri On the Fisher information matrix for multivariate elliptically contoured distributions. (2013) IEEE Signal Processing Letters, 20 (11). 1130-1133. ISSN 1070-9908

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Official URL: http://dx.doi.org/10.1109/LSP.2013.2281914

Abstract

The Slepian-Bangs formula provides a very convenient way to compute the Fisher information matrix (FIM) for Gaussian distributed data. The aim of this letter is to extend it to a larger family of distributions, namely elliptically contoured (EC) distributions. More precisely, we derive a closed-form expression of the FIM in this case. This new expression involves the usual term of the Gaussian FIM plus some corrective factors that depend only on the expectations of some functions of the so-called modular variate. Hence, for most distributions in the EC family, derivation of the FIM from its Gaussian counterpart involves slight additional derivations. We show that the new formula reduces to the Slepian-Bangs formula in the Gaussian case and we provide an illustrative example with Student distributions on how it can be used.

Item Type:Article
Additional Information:Thanks to IEEE editor. (c) 2011 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other users, including reprinting/ republishing this material for advertising or promotional purposes, creating new collective works for resale or redistribution to servers or lists, or reuse of any copyrighted components of this work in other works. The definitive version is available at http://ieeexplore.ieee.org
HAL Id:hal-00867012
Audience (journal):International peer-reviewed journal
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Institution:Université de Toulouse > Institut Supérieur de l'Aéronautique et de l'Espace - ISAE-SUPAERO (FRANCE)
Other partners > WR Systems (USA)
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Deposited By: Olivier Besson
Deposited On:27 Sep 2013 13:13

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