The information matrix of multiple-input single-output time series models
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Publication:1339357
DOI10.1016/0377-0427(92)00116-QzbMath0811.65141MaRDI QIDQ1339357
Publication date: 2 May 1995
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
information matrix; ARMA processes; ARMAX; multiple regression model; correlated inputs; autoregressive moving average exogenous model; multiple-input single-output model
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C99: Probabilistic methods, stochastic differential equations
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Cites Work
- The information matrices of the parameters of multiple mixed time series
- FISHER'S INFORMATION MATRIX FOR SEASONAL AUTOREGRESSIVE-MOVING AVERAGE MODELS
- Asymptotic variance expressions for identified black-box transfer function models
- Maximum likelihood identification of Gaussian autoregressive moving average models
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