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I am not comfortable with Fisher information, what it measures and how and how is it helpful. Also it's relationship with the Cramer-Rao bound is not apparent to me.

Can someone please give an intuitive explanation of these concepts?

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closed as off topic by Qiaochu Yuan May 10 '11 at 12:07

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Cross-posted: stats.stackexchange.com/questions/10578/… –  cardinal May 10 '11 at 11:52

1 Answer 1

Have a look at John Baez's blog Azimuth and the posts about Information geometry there:

(There are more posts about this, but the first three will be enough material for starters :-)

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