The asymptotic and exact Fisher information matrices of a vector ARMA process

DOI10.1016/j.spl.2007.12.013zbMath1152.62367OpenAlexW2107935927MaRDI QIDQ945777

Abdessamad Saidi, Guy Mélard, Andre Klein

Publication date: 17 September 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.12.013

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Statistical aspects of information-theoretic topics (62B10)

Related Items (6)

Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes ⋮ Asymptotic Fisher information matrix of Markov switching VARMA models ⋮ Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes ⋮ An algorithm for the exact Fisher information matrix of vector ARMAX time series ⋮ On the Fisher information matrix of a vector ARMA process ⋮ A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process

Cites Work

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• A generalization of Whittle's formula for the information matrix of vector-mixed time series
• A direct derivation of the exact Fisher information matrix of Gaussian vector state space models
• Analytic derivatives for estimation of linear dynamic models
• On the resultant property of the Fisher information matrix of a vector ARMA process
• On the Evaluation of the Information Matrix for Multiplicative Seasonal Time-Series Models
• On the computation of the Cramer-Rao bound for ARMA parameter estimation

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