On the solution of Stein's equation and Fisher's information matrix of an ARMAX process

DOI10.1016/j.laa.2004.08.032zbMath1085.15017OpenAlexW1973286042MaRDI QIDQ1763819

Peter Spreij, Andre Klein

Publication date: 22 February 2005

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

Full work available at URL: https://doi.org/10.1016/j.laa.2004.08.032

zbMATH Keywords

Fisher information matrixLinear systemsStein matrix equationARMAX process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Theory of matrix inversion and generalized inverses (15A09) Matrix equations and identities (15A24)

Related Items (5)

Matrix algebraic properties of the Fisher information matrix of stationary processes ⋮ Selective modal control for vibration reduction in flexible structures ⋮ Computational Methods for Linear Matrix Equations ⋮ Transformed statistical distance measures and the Fisher information matrix ⋮ Restarted global FOM and GMRES algorithms for the Stein-like matrix equation \(X + \mathcal{M}(X) = C\)

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• On Stein's equation, Vandermonde matrices and Fisher's information matrix of time series processes. I: The autoregressive moving average process

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