Computation of the Fisher information matrix for time series models

DOI10.1016/0377-0427(95)00006-2zbMath0855.65150OpenAlexW2019843455MaRDI QIDQ1917901

Guy Mélard, Andre Klein

Publication date: 11 February 1997

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-0427(95)00006-2

zbMATH Keywords

complexityFisher information matrixARMA modeltime series modelsGaussian autoregressive moving average

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

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