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Fisher information in weighted distributions
Authors:Satish Iyengar  Paul Kvam  Harshinder Singh
Abstract:Suppose that a density fθ (x) belongs to an exponential family, but that inference about θ must be based on data that are obtained from a density that is proportional to W(x)fθ(x). The authors study the Fisher information about θ in observations obtained from such weighted distributions and give conditions under which this information is greater than under the original density. These conditions involve the hazard- and reversed-hazard-rate functions.
Keywords:Exponential family  hazard-rate function  meta-analysis  order statistics  residual lifetime  reversed hazard-rate function  selection model
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