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I couldn't grasp what it refers to exactly so I would like to understand how we use it:

from MLE, Score Vector is:

$$ S(\theta;y) = \frac{\partial l(\theta;y) }{\partial \theta} $$ $l$ comes from the log version of the likelihood function and this score vector has an asymptotic distribution with Information Matrix which is:

$$ I(\theta) = -E(\frac{\partial l(\theta;y) }{\partial \theta \partial \theta ^T } ) $$

I appreciate it if you can explain how to use it and which sources I can use.

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    $\begingroup$ hi: you'd have to read a fairly advanced book on statistical inference. one recommendation is this one at the link below. there are probably other good ones that I am not aware of so hopefully other recommendations will follow from others. amazon.com/… $\endgroup$
    – mark leeds
    Dec 17, 2022 at 1:58
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    $\begingroup$ You may try asking questions like this on Cross Validated instead. You will find a larger pool of experts there. $\endgroup$ Dec 18, 2022 at 8:25
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    $\begingroup$ math.stackexchange.com/questions/4037394/… Hope this helps. $\endgroup$
    – Q9y5
    Dec 29, 2022 at 2:50

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