Fisher Information of a Family of Generalized Normal Distributions
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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 θ. Although the uniform distribution in [-θ, + θ] does not satisfy the regularity requirements, as a special case of our result, we will obtain the Fisher information for this family.
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