On Stein's equation, Vandermonde matrices and Fisher's information matrix of time series processes. I: The autoregressive moving average process

DOI10.1016/S0024-3795(01)00231-2zbMath0999.62069MaRDI QIDQ5935578

Andre Klein, Peter Spreij

Publication date: 26 June 2001

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

zbMATH Keywords

ARMA processFisher information matrixleft inverseright inverseStein equation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Matrix equations and identities (15A24)

Related Items (5)

Matrix algebraic properties of the Fisher information matrix of stationary processes ⋮ Computational Methods for Linear Matrix Equations ⋮ On the solution of Stein's equation and Fisher's information matrix of an ARMAX process ⋮ Restarted global FOM and GMRES algorithms for the Stein-like matrix equation \(X + \mathcal{M}(X) = C\) ⋮ A computational framework of gradient flows for general linear matrix equations

Cites Work

• Factored forms for solutions of \(AX-XB=C\) and \(X-AXB=C\) in companion matrices
• Inertia characteristics of self-adjoint matrix polynomials
• On the computation of the Cramer-Rao bound for ARMA parameter estimation
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