An explicit expression for the Fisher information matrix of a multiple time series process

DOI10.1016/j.laa.2005.04.024zbMath1092.62087OpenAlexW2167316000MaRDI QIDQ2497951

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: http://dare.uva.nl/personal/pure/en/publications/an-explicit-expression-for-the-fisher-information-matrix-of-a-multiple-time-series-process(2060f311-9f04-4d9b-bc57-ffe409ac289f).html

zbMATH Keywords

Fisher information matrixmatrix polynomialVARMA processmatrix differential rules

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Calculus of vector functions (26B12) Multilinear algebra, tensor calculus (15A69)

Related Items (6)

A goodness-of-fit test for VARMA\((p, q)\) models ⋮ Asymptotic Fisher information matrix of Markov switching VARMA models ⋮ A Note on the Information Matrix for Multiplicative Seasonal Autoregressive Moving-Average Models ⋮ 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

Cites Work

• A generalization of Whittle's formula for the information matrix of vector-mixed time series
• Unnamed Item

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