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