A direct derivation of the exact Fisher information matrix of Gaussian vector state space models

DOI10.1016/S0024-3795(99)00177-9zbMath1157.62452WikidataQ126628451 ScholiaQ126628451MaRDI QIDQ1595151

R. Smith

Publication date: 11 February 2001

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

zbMATH Keywords

Fisher information matrixDifferential rulesVector state space model

Mathematics Subject Classification ID

Multivariate analysis (62H99) Calculus of vector functions (26B12)

Related Items (7)

Evaluating the information matrix in linearized DSGE models ⋮ Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes ⋮ An algorithm for the exact Fisher information matrix of vector ARMAX time series ⋮ SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation ⋮ Likelihood ratio testing in linear state space models: an application to dynamic stochastic general equilibrium models ⋮ The asymptotic and exact Fisher information matrices of a vector ARMA process ⋮ On the resultant property of the Fisher information matrix of a vector ARMA process

Cites Work

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• Estimation of dynamic econometric models with errors in variables
• 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

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