An efficient calculation of Fisher information matrix: Monte Carlo approach using prior information


The Fisher information matrix (FIM) is a critical quantity in several aspects of system identification, including input selection and confidence region calculation. Analytical determination of the FIM in a general system identification setting may be difficult or almost impossible due to intractable modeling requirements and/or high-dimensional integration… (More)
DOI: 10.1109/CDC.2007.4434830


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