Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples

DOI10.1016/0898-1221(94)00132-4zbMath0799.62100OpenAlexW2022955795MaRDI QIDQ1334708

Stefan Mittnik, Peter A. Zadrozny

Publication date: 25 September 1994

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(94)00132-4

zbMATH Keywords

asymptotic covariance matrixstate space representationCramer-Rao lower boundnonrecursive methodinverse asymptotic information matrixinverse sample information matrixperiodic VARMA modelsrecursive Kalman-filtering methodtime-varying Gaussian vector autoregressive moving-average models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Probabilistic methods, stochastic differential equations (65C99)

Related Items

Asymptotic Fisher information matrix of Markov switching VARMA models, An algorithm for the exact Fisher information matrix of vector ARMAX time series, The asymptotic and exact Fisher information matrices of a vector ARMA process, Computing the Exact Fisher Information Matrix of Periodic State-Space Models, A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process, An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models, Comments on ``Kalman-filtering methods for computing information matrices for time-invariant, periodic, and generally time-varying VARMA models and samples, Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules

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