On Fisher's information matrix of an ARMAX process and Sylvester's resultant matrices

DOI10.1016/0024-3795(95)00552-8zbMath0843.62087OpenAlexW2132470644MaRDI QIDQ1914329

Peter Spreij, Andre Klein

Publication date: 21 August 1996

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

Full work available at URL: https://doi.org/10.1016/0024-3795(95)00552-8

zbMATH Keywords

autoregressive moving average modelserror covariance matrixCramer-Rao boundinverse of Fisher's information matrixARMAX processSylvester's resultant matricesexogeneous componentWald test statistic for testing common roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Matrix equations and identities (15A24) Basic linear algebra (15A99)

Related Items (19)

Algorithms for finding the minimal polynomials and inverses of resultant matrices ⋮ Matrix algebraic properties of the Fisher information matrix of stationary processes ⋮ Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes ⋮ Computational Methods for Linear Matrix Equations ⋮ On Fisher's information matrix of an ARMAX process and Sylvester's resultant matrices ⋮ A system of coupled two-sided Sylvester-type tensor equations over the quaternion algebra ⋮ A New Recursive Estimation Method for Single Input Single Output Models ⋮ Solving a system of two-sided Sylvester-like quaternion tensor equations ⋮ Transformed statistical distance measures and the Fisher information matrix ⋮ A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA 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 solution of Stein's equation and Fisher's information matrix of an ARMAX process ⋮ An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models ⋮ The Bezoutian, state space realizations and Fisher's information matrix of an ARMA process ⋮ Computation of the exact information matrix of Gaussian dynamic regression time series models ⋮ The general solution to a system of coupled Sylvester-type quaternion tensor equations involving \(\eta\)-Hermicity ⋮ The Fisher information matrix for linear systems. ⋮ Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules

Cites Work

• Unnamed Item
• On covariance function tests used in system identification
• Hypothesis testing of common roots
• On Fisher's information matrix of an ARMAX process and Sylvester's resultant matrices
• Mathematical Description of Linear Dynamical Systems
• A New Formulation of the Theorems of Hurwitz, Routh and Sturm
• Matrices, polynomials, and linear time-variant systems

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