On the Fisher information for the mean of a Gaussian process
Boaz Porat · IEEE Transactions on Signal Processing · 1995
An approximate formula for the Fisher information matrix of a Gaussian process has previously been proposed, for the case of a nonzero, parametrically modeled mean. The present author shows that the relative error in the approximation is not guaranteed to converge to zero as the number of measurements tends to infinity. Therefore, the formula cannot be regarded as a valid approximation in general.>