Computing the Exact Fisher Information Matrix of Periodic State-Space Models

DOI10.1080/03610926.2011.569864zbMath1284.65016OpenAlexW2096671153MaRDI QIDQ4904680

Fayçal Hamdi

Publication date: 31 January 2013

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

Full work available at URL: https://doi.org/10.1080/03610926.2011.569864

zbMATH Keywords

Fisher information matrixChandrasekhar-type recursionsperiodic state-space modelsperiodic VARMA model

Mathematics Subject Classification ID

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

Related Items (1)

On Markov-switching periodicARMAmodels

Cites Work

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• Calculation of the Fisher Information Matrix for Periodic ARMA Models
• Testing for periodic autocorrelations in seasonal time series data

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