The information matrix of multiple-input single-output time series models

DOI10.1016/0377-0427(92)00116-QzbMath0811.65141MaRDI QIDQ1339357

A. A. B. Klein, Guy Mélard

Publication date: 2 May 1995

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

information matrixARMA processesARMAXmultiple regression modelcorrelated inputsautoregressive moving average exogenous modelmultiple-input single-output model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (7)

Identification of multi-input systems: variance analysis and input design issues ⋮ Computation of the Fisher information matrix for time series models ⋮ Accuracy of linear multiple-input multiple-output (MIMO) models obtained by maximum likelihood estimation ⋮ Variance analysis of identified linear MISO models having spatially correlated inputs, with application to parallel Hammerstein models ⋮ On the resultant property of the Fisher information matrix of a vector ARMA process ⋮ An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models ⋮ Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules

Cites Work

• The information matrices of the parameters of multiple mixed time series
• FISHER'S INFORMATION MATRIX FOR SEASONAL AUTOREGRESSIVE-MOVING AVERAGE MODELS
• Asymptotic variance expressions for identified black-box transfer function models
• Maximum likelihood identification of Gaussian autoregressive moving average models
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