Computation of the exact information matrix of Gaussian dynamic regression time series models

DOI10.1214/aos/1024691256zbMath0929.62094MaRDI QIDQ1807120

Toufik Zahaf, Guy Mélard, Andre Klein

Publication date: 9 November 1999

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1024691256

zbMATH Keywords

information matrix; Chandrasekhar equations; SISO models

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models, Calculation of the Fisher Information Matrix for Periodic ARMA Models, Computing the Exact Fisher Information Matrix of Periodic State-Space Models, A New Recursive Estimation Method for Single Input Single Output Models, Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules, On the Evaluation of the Information Matrix for Multiplicative Seasonal Time-Series Models

Uses Software

• AS 197

Cites Work

• Finite sample properties of estimators for autoregressive moving average models
• Estimation of dynamic econometric models with errors in variables
• The information matrices of the parameters of multiple mixed time series
• Analytic derivatives for estimation of linear dynamic models
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• Estimation and information in stationary time series
• Some efficient computational procedures for high order ARMA models
• Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models
• Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
• FISHER'S INFORMATION MATRIX FOR SEASONAL AUTOREGRESSIVE-MOVING AVERAGE MODELS
• Evaluation of the covariance matrix for the maximum likelihood estimator of a Gaussian autoregressive-moving average process
• On the computation of the Cramer-Rao bound for ARMA parameter estimation
• Computing the likelihood and its dierivatives for a gaussian ARMA model
• Cramer-Rao bounds for AR parameter and reflection coefficient estimators
• The Euclid algorithm and the fast computation of cross-covariance and autocovariance sequences
• Some new algorithms for recursive estimation in constant, linear, discrete-time systems
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