Matrix algebraic properties of the Fisher information matrix of stationary processes

DOI10.3390/e16042023zbMath1338.60108OpenAlexW2046312470MaRDI QIDQ296456

Andre Klein

Publication date: 15 June 2016

Published in: Entropy (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/e16042023

Mathematics Subject Classification ID

Point estimation (62F10) Stationary stochastic processes (60G10) Statistical aspects of information-theoretic topics (62B10)

Related Items

Asymptotic Fisher information matrix of Markov switching VARMA models ⋮ Connections between the extreme points for Vandermonde determinants and minimizing risk measure in financial mathematics

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Transformed statistical distance measures and the Fisher information matrix
• Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes
• Bounds for resultants of univariate and bivariate polynomials
• Matrix differential calculus applied to multiple stationary time series and an extended Whittle formula for information matrices
• Estimation of vector Armax models
• On the solution of Stein's equation and Fisher's information matrix of an ARMAX process
• On Fisher's information matrix of an ARMAX process and Sylvester's resultant matrices
• An algorithm for the exact Fisher information matrix of vector ARMAX time series
• On the resultant property of the Fisher information matrix of a vector ARMA process
• The Bezoutian, state space realizations and Fisher's information matrix of an ARMA process
• On the computation of the Cramer-Rao bound for ARMA parameter estimation
• Resultants of matrix polynomials
• Wigner-Yanase skew information vs. quantum Fisher information
• Statistical distance and the geometry of quantum states
• Fisher information in quantum statistics
• An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models
• On Stein's equation, Vandermonde matrices and Fisher's information matrix of time series processes. I: The autoregressive moving average process