Computation of the exact information matrix of Gaussian dynamic regression time series models

DOI10.1214/aos/1024691256zbMath0929.62094OpenAlexW2071973071MaRDI QIDQ1807120

Toufik Zahaf, Guy Mélard, Andre Klein

Publication date: 9 November 1999

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1024691256

zbMATH Keywords

information matrixChandrasekhar equationsSISO models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

A New Recursive Estimation Method for Single Input Single Output Models, Computing the Exact Fisher Information Matrix of Periodic State-Space Models, An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models, Calculation of the Fisher Information Matrix for Periodic ARMA Models, Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules, On the Evaluation of the Information Matrix for Multiplicative Seasonal Time-Series Models

Uses Software

• AS 197

Cites Work

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