The Bezoutian, state space realizations and Fisher's information matrix of an ARMA process

DOI10.1016/j.laa.2006.02.016zbMath1096.62085arXivmath/0505224OpenAlexW2127696149MaRDI QIDQ2497248

Peter Spreij, Andre Klein

Publication date: 4 August 2006

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

Full work available at URL: https://arxiv.org/abs/math/0505224

zbMATH Keywords

ARMA processFisher information matrixstate space realizationStein's equationBezout matrixSylvester's resultant matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Factorization of matrices (15A23) Realizations from input-output data (93B15) Statistical aspects of information-theoretic topics (62B10)

Related Items (3)

Matrix algebraic properties of the Fisher information matrix of stationary processes ⋮ Transformed statistical distance measures and the Fisher information matrix ⋮ Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes

Cites Work

• On covariance function tests used in system identification
• Inertia characteristics of self-adjoint matrix polynomials
• The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model
• On Fisher's information matrix of an ARMAX process and Sylvester's resultant matrices
• Uniqueness of the maximum likelihood estimates of the parameters of an ARMA model
• Some Results on Vandermonde Matrices with an Application to Time Series Analysis
• Mathematical Description of Linear Dynamical Systems
• A New Formulation of the Theorems of Hurwitz, Routh and Sturm
• Identification in Parametric Models
• Matrices, polynomials, and linear time-variant systems
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