Computation of the Fisher information matrix for time series models
type: Item
instance of: scholarly article
title: Computation of the Fisher information matrix for time series models
zbMATH Open document ID: 0855.65150
DOI: 10.1016/0377-0427(95)00006-2
author: Guy Mélard
author: André Klein
published in: Journal of Computational and Applied Mathematics
publication date: 1997-02-11T00:00:00Z
review text: The Fisher information matrix is an important tool for evaluating the accuracy of estimators. The paper is concerned with algorithmic aspects related to the computation of that matrix either asymptotically or exactly for several time series models. These models include a stationary Gaussian autoregressive moving average (ARMA), a seasonal model, the single-input-single-output model (SISO), and a vector ARMA model. After a review of the literature on the subject, several recent methods are described and compared from the point of view of complexity, accuracy, and the class of models for which they can be used.
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 903537
zbMATH Keywords: Fisher information matrix
zbMATH Keywords: time series models
zbMATH Keywords: Gaussian autoregressive moving average
zbMATH Keywords: ARMA model
zbMATH Keywords: complexity
reviewed by: Ilya S. Molchanov
MaRDI profile type: Publication
full work available at URL: 0377-0427(95)00006-2
OpenAlex ID: W2019843455
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description: scientific article; zbMATH DE number 903537