The information matrices of the parameters of multiple mixed time series

DOI10.1016/0047-259X(78)90082-9zbMath0385.62069OpenAlexW2040728131MaRDI QIDQ1249405

H. Joseph Newton

Publication date: 1978

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(78)90082-9

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (17)

The information matrix of multiple-input single-output time series models ⋮ Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes ⋮ On mixture autoregressive conditional heteroskedasticity ⋮ Asymptotic Fisher information matrix of Markov switching VARMA models ⋮ An efficient method for the estimation of multivariate moving averge models ⋮ Estimating multivariate autoregressive moving average models by fitting long autoregressions ⋮ Estimation Of Paramters Of A Multivatiate Moving Average Model From Estimates Of The Inverse Autocovariance Function ⋮ Computation of the Fisher information matrix for time series models ⋮ An algorithm for the exact Fisher information matrix of vector ARMAX time series ⋮ On the Fisher information matrix of a vector ARMA process ⋮ Matrix differential calculus applied to multiple stationary time series and an extended Whittle formula for information matrices ⋮ Numerical computation of asymptotic covariance matrix of the gaussian estimators for vector arrla models ⋮ On the resultant property of the Fisher information matrix of a vector ARMA process ⋮ Computation of the exact information matrix of Gaussian dynamic regression time series models ⋮ OLS estimation of Markov switching VAR models: asymptotics and application to energy use ⋮ A generalization of Whittle's formula for the information matrix of vector-mixed time series ⋮ Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules

Cites Work

• Maximum likelihood identification of Gaussian autoregressive moving average models
• Vector linear time series models
• Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products
• Block Toeplitz Matrix Inversion
• Linear Statistical Inference and its Applications
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