Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules

DOI10.1016/S0024-3795(99)00045-2zbMath0966.62058MaRDI QIDQ1595150

Guy Mélard, Toufik Zahaf, Andre Klein

Publication date: 17 August 2001

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

zbMATH Keywords

Fisher information matrixmatrix differentiationvector autoregressive moving average model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Calculus of vector functions (26B12) Statistical aspects of information-theoretic topics (62B10)

Related Items (11)

Asymptotic Fisher information matrix of Markov switching VARMA models ⋮ Evaluating the information matrix in linearized DSGE models ⋮ An algorithm for the exact Fisher information matrix of vector ARMAX time series ⋮ On the Fisher information matrix of a vector ARMA process ⋮ Likelihood ratio testing in linear state space models: an application to dynamic stochastic general equilibrium models ⋮ Assessment of Reliability in Accelerated Degradation Testing with Initial Status Incorporated ⋮ Computing the Exact Fisher Information Matrix of Periodic State-Space 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 ⋮ A generalization of Whittle's formula for the information matrix of vector-mixed time series ⋮ A direct derivation of the exact Fisher information matrix of Gaussian vector state space models

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