Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples

DOI10.1016/0898-1221(94)00132-4MaRDI QIDQ1334708zbMATH OpenOpenAlexFDO

Authors Stefan Mittnik, Peter A. Zadrozny

Publication date 25 September 1994

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0898-1221(94)00132-4

zbMATH Keywords

asymptotic covariance matrixCramer-Rao lower boundinverse asymptotic information matrixinverse sample information matrixnonrecursive methodperiodic VARMA modelsrecursive Kalman-filtering methodstate space representationtime-varying Gaussian vector autoregressive moving-average models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Probabilistic methods, stochastic differential equations (65C99)

Recommendations

• Comments on ``Kalman-filtering methods for computing information matrices for time-invariant, periodic, and generally time-varying VARMA models and samples
• Computing the exact Fisher information matrix of periodic state-space models
• Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules
• Computation of the exact information matrix of Gaussian dynamic regression time series models

Cites work

• A central limit theorem for stationary processes and the parameter estimation of linear processes
• A Schur method for solving algebraic Riccati equations
• Analytic Derivatives for Estimation of Discrete-Time, Linear-Quadratic, Dynamic, Optimization Models
• Analytic derivatives for estimation of linear dynamic models
• Estimation of dynamic econometric models with errors in variables
• Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
• Exact likelihood of vector autoregressive-moving average process with missing or aggregated data
• scientific article; zbMATH DE number 4147357 (Why is no real title available?)
• scientific article; zbMATH DE number 3928227 (Why is no real title available?)
• scientific article; zbMATH DE number 3680971 (Why is no real title available?)
• scientific article; zbMATH DE number 65796 (Why is no real title available?)
• scientific article; zbMATH DE number 65814 (Why is no real title available?)
• scientific article; zbMATH DE number 192992 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 472948 (Why is no real title available?)
• scientific article; zbMATH DE number 3435336 (Why is no real title available?)
• scientific article; zbMATH DE number 3892457 (Why is no real title available?)
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Numerical aspects of different Kalman filter implementations
• Periodic linear-quadratic methods for modeling seasonality

Cited in

(9)

• Comments on ``Kalman-filtering methods for computing information matrices for time-invariant, periodic, and generally time-varying VARMA models and samples
• Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules
• A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process
• Asymptotic Fisher information matrix of Markov switching VARMA models
• An algorithm for the exact Fisher information matrix of vector ARMAX time series
• An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models
• Computing the exact Fisher information matrix of periodic state-space models
• Vector moving average models: a review
• The asymptotic and exact Fisher information matrices of a vector ARMA process

This page was built for publication: Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1334708)