PDF Projection

To form the projected PDF, we use the results from Section 2.3.5. Equation (2.20) can be used with the FIM above. The full FIM needs to be formed

$${\bf I}=\left[ \begin{array}{ccc} I_{{\bf a}{\bf a}} &I_{\theta{\... ...a{\bf a}} &I_{\theta\theta} &0\\ 0 &0 &I_{\sigma^2\sigma^2}\end{array}\right].$$