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JuliaStats / Distributions.jl

A Julia package for probability distributions and associated functions.

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Add Fisher Information Matrix function

matheusaps opened this issue · comments

commented

Hello Distributions.jl team,

I'm writing to propose adding a function to Distributions.jl to calculate the Fisher Information Matrix (FIM) for distributions.

The FIM is crucial for statistical inference, offering insights into parameter uncertainty, in addition to being part of the definition of score-driven models. Integrating this functionality would increase the usefulness of the package and increase its value to users.

Thank you for considering this proposal.

Yours sincerely,