The Fisher Information Bound - Quant Trader Interview Question
Difficulty: Hard
Category: Probability & Statistics
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Topics: probability, statistics, fisher-information, exponential-distribution
Problem Description
Consider a scenario where you're modeling the time until the next market event using an exponential distribution. The rate parameter, $λ$ , governs the frequency of these events. You want to estimate $λ$ from a sample of observed event times.
For an exponential distribution with rate $λ$ , what is the Fisher information $I(λ)$ ?
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