Calculation of the Fisher Information Matrix for Periodic ARMA Models

DOI10.1081/STA-200054428zbMath1073.62072OpenAlexW2013693271MaRDI QIDQ4681055

Mohamed Bentarzi, Abdelhakim Aknouche

Publication date: 14 June 2005

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sta-200054428

zbMATH Keywords

Fisher information matrixrecursive estimationperiodic autocovariance functionsperiodically correlated autoregressive moving average processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Predictive Density Order Selection of Periodic AR Models, Computing the Exact Fisher Information Matrix of Periodic State-Space Models, Causality conditions and autocovariance calculations in PVAR models, Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes, A Note on Calculating Autocovariances of PeriodicARMAModels, Calculating the autocovariances and the likelihood for periodic V ARMA models

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• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS