On the minimum of the Fisher information about the scale parameter and the singular Sturme-Liouville problem

Zinoviy Landsman

doi:10.1016/s0378-3758(99)00213-x

On the minimum of the Fisher information about the scale parameter and the singular Sturme-Liouville problem

Zinoviy Landsman

Department of Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

The problem of minimizing the Fisher information about the scale parameter is shown to be related to the singular Sturme-Liouville problem. A greatest lower bound is established for this functional with respect to densities having a compact support on the interval [a,b]. This result can be applied to the construction of an optimal credibility factor in the context of actuarial science.

Original language	English
Pages (from-to)	29-35
Number of pages	7
Journal	Journal of Statistical Planning and Inference
Volume	88
Issue number	1
DOIs	https://doi.org/10.1016/s0378-3758(99)00213-x
State	Published - 1 Jul 2000

Keywords

62B10
62E20
Credibility theory
Fisher information
Least favorable distribution
Sturme-Liouville problem

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

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10.1016/s0378-3758(99)00213-x

Cite this

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KW - Least favorable distribution

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On the minimum of the Fisher information about the scale parameter and the singular Sturme-Liouville problem

Abstract

Keywords

ASJC Scopus subject areas

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