A direct derivation of the exact Fisher information matrix of Gaussian vector state space models

DOI10.1016/S0024-3795(99)00177-9zbMATH Open1157.62452WikidataQ126628451 ScholiaQ126628451MaRDI QIDQ1595151FDOQ1595151

Authors R. Smith 

Publication date 11 February 2001

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

zbMATH Keywords

Fisher information matrixDifferential rulesVector state space model

Mathematics Subject Classification ID

Multivariate analysis (62H99) Calculus of vector functions (26B12)

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Cites Work

• scientific article; zbMATH DE number 65796 (Why is no real title available?)
• scientific article; zbMATH DE number 1261669 (Why is no real title available?)
• Analytic derivatives for estimation of linear dynamic models
• Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules
• Estimation of dynamic econometric models with errors in variables

Cited In (8)

• Likelihood ratio testing in linear state space models: an application to dynamic stochastic general equilibrium models
• The asymptotic and exact Fisher information matrices of a vector ARMA process
• Explicit vector expression of exact score for time series models in state space form
• Evaluating the information matrix in linearized DSGE models
• SVD-based state and parameter estimation approach for generalized Kalman filtering with application to GARCH-in-Mean estimation
• Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
• An algorithm for the exact Fisher information matrix of vector ARMAX time series
• On the resultant property of the Fisher information matrix of a vector ARMA process

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