Les modèles non linéaires à effets mixtes - Isped

Estimation of the Fisher Information matrix
Stochastic approximation:
∆ k = ∆ k−1 + γ k [∂ θ log f(y, φ k ; θ k ) − ∆ k−1 ]
D k = D k−1 + γ k
[
∂
2
θ log f(y, φ k ; θ k ) − Dk − 1 ]
G k = G k−1 + γ k
[
∂θ log f(y, φ k ; θ k )∂ θ log f(y, φ k ; θ k ) t − G k−1
]
H k = D k + G k − ∆ k ∆ t k
Under some regularity conditions, the sequence (H k ) converges
almost surely to the Fisher Information matrix
Sminaire ”Statistique et Sant Publique”, Bordeaux - 8 novembre 2005, p.33