A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process

DOI10.1007/s10260-019-00472-yzbMath1436.62029OpenAlexW2946222257WikidataQ127800681 ScholiaQ127800681MaRDI QIDQ1985964

Maddalena Cavicchioli

Publication date: 7 April 2020

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-019-00472-y

zbMATH Keywords

Fisher information matrixmatrix differential calculusMarkov switching VARMA process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical aspects of information-theoretic topics (62B10)

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