Calculation of the Fisher Information Matrix for Periodic ARMA Models

DOI10.1081/STA-200054428MaRDI QIDQ4681055zbMATH OpenOpenAlexFDO

Authors Mohamed Bentarzi, Abdelhakim Aknouche

Publication date 14 June 2005

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sta-200054428

zbMATH Keywords

Fisher information matrixperiodic autocovariance functionsperiodically correlated autoregressive moving average processesrecursive estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• An approach to testing linear time series models
• Computation of the exact information matrix of Gaussian dynamic regression time series models
• Estimation and information in stationary time series
• FISHER'S INFORMATION MATRIX FOR SEASONAL AUTOREGRESSIVE-MOVING AVERAGE MODELS
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Model-building problem of periodically correlated m-variate moving average processes
• On periodic and multiple autoregressions
• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
• Recursive prediction and likelihood evaluation for periodic ARMA models
• Time series: theory and methods.

Cited in

(9)

• The Bezoutian, state space realizations and Fisher's information matrix of an ARMA process
• Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
• FISHER'S INFORMATION MATRIX FOR SEASONAL AUTOREGRESSIVE-MOVING AVERAGE MODELS
• Predictive Density Order Selection of Periodic AR Models
• A Note on Calculating Autocovariances of PeriodicARMAModels
• Calculating the autocovariances and the likelihood for periodic V ARMA models
• Computing and estimating information matrices of weak ARMA models
• Computing the exact Fisher information matrix of periodic state-space models
• Causality conditions and autocovariance calculations in PVAR models

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