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)

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zbMATH Keywords

Fisher information matrixDifferential rulesVector state space model

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Estimation of dynamic econometric models with errors in variables
• 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

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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