A generalization of Whittle's formula for the information matrix of vector-mixed time series
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Publication:1595149
DOI10.1016/S0024-3795(99)00260-8zbMath0966.62057MaRDI QIDQ1595149
Publication date: 17 August 2001
Published in: Linear Algebra and its Applications (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hermitian, skew-Hermitian, and related matrices (15B57) Calculus of vector functions (26B12) Statistical aspects of information-theoretic topics (62B10)
Related Items (9)
Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes ⋮ Accuracy of linear multiple-input multiple-output (MIMO) models obtained by maximum likelihood estimation ⋮ On the Fisher information matrix of a vector ARMA process ⋮ On the accuracy in errors-in-variables identification compared to prediction-error identification ⋮ The asymptotic and exact Fisher information matrices of a vector ARMA process ⋮ Matrix differential calculus applied to multiple stationary time series and an extended Whittle formula for information matrices ⋮ On the resultant property of the Fisher information matrix of a vector ARMA process ⋮ On the asymptotic properties of multivariate sample autocovariances ⋮ An explicit expression for the Fisher information matrix of a multiple time series process
Cites Work
- The information matrices of the parameters of multiple mixed time series
- Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules
- Analytic derivatives for estimation of linear dynamic models
- Some results on commutation matrices, with statistical applications
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