Matrix differential calculus applied to multiple stationary time series and an extended Whittle formula for information matrices

DOI10.1016/j.laa.2008.09.019zbMath1152.62058OpenAlexW1977619705MaRDI QIDQ959872

Peter Spreij, Andre Klein

Publication date: 12 December 2008

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

Full work available at URL: https://doi.org/10.1016/j.laa.2008.09.019

zbMATH Keywords

Fisher information matrixmatrix polynomialVARMAX processmatrix differential calculusWhittle formula

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hermitian, skew-Hermitian, and related matrices (15B57) Calculus of vector functions (26B12) Statistical aspects of information-theoretic topics (62B10) Multilinear algebra, tensor calculus (15A69) Basic linear algebra (15A99)

Related Items (7)

Matrix algebraic properties of the Fisher information matrix of stationary processes ⋮ Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes ⋮ On mixture autoregressive conditional heteroskedasticity ⋮ Asymptotic Fisher information matrix of Markov switching VARMA models ⋮ Accuracy of linear multiple-input multiple-output (MIMO) models obtained by maximum likelihood estimation ⋮ An algorithm for the exact Fisher information matrix of vector ARMAX time series ⋮ On the Fisher information matrix of a vector ARMA process

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