A generalization of Whittle's formula for the information matrix of vector-mixed time series

DOI10.1016/S0024-3795(99)00260-8MaRDI QIDQ1595149zbMATH OpenFDO

Authors André Klein

Publication date 17 August 2001

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0024-3795(99)00260-8

zbMATH Keywords

Fisher's information matrixHermitian matrixpermutation matrixspectral density

Mathematics Subject Classification ID

Hermitian, skew-Hermitian, and related matrices (15B57) Calculus of vector functions (26B12) Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Analytic derivatives for estimation of linear dynamic models
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• Some results on commutation matrices, with statistical applications
• The information matrices of the parameters of multiple mixed time series

Cited in

(11)

• The information matrix of multiple-input single-output time series models
• Computation of the exact information matrix of Gaussian dynamic regression time series models
• On the Fisher information matrix of a vector ARMA process
• On the resultant property of the Fisher information matrix of a vector ARMA process
• On the asymptotic properties of multivariate sample autocovariances
• An explicit expression for the Fisher information matrix of a multiple time series process
• Accuracy of linear multiple-input multiple-output (MIMO) models obtained by maximum likelihood estimation
• On the accuracy in errors-in-variables identification compared to prediction-error identification
• Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes
• The asymptotic and exact Fisher information matrices of a vector ARMA process
• Matrix differential calculus applied to multiple stationary time series and an extended Whittle formula for information matrices

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