Fisher Information of a Family of Generalized Normal Distributions

Abstract

In this brief note we compute the Fisher information of a family of generalized normal distributions. Fisher information is usually defined for regular distributions, i.e. continuously differentiable (log) density functions whose support does not depend on the family parameter $\theta$. Although the uniform distribution in $[-\theta ,+\theta ]$ does not satisfy the regularity requirements, as a special case of our result, we will obtain the Fisher information for this family.

3 pages, 1 figure