Fisher matrix=(minus the) average of the second derivative of the log-likelihood with respect to the parameters(adsbygoogle = window.adsbygoogle || []).push({});

It seems to me the Fisher matrix for Gaussian data is invariant with respect to any (non-singular) linear transformation of the data; if correct this is a very useful property, however I cannot find a reference to this in the texts available to me. Can anyone confirm whether this is true or refer me to some discussion of this?

Thanks!

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# Invariance of the Fisher matrix

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