Computation of the exact information matrix of Gaussian dynamic regression time series models
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Publication:1807120
DOI10.1214/aos/1024691256zbMath0929.62094OpenAlexW2071973071MaRDI 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
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Related Items (6)
A New Recursive Estimation Method for Single Input Single Output Models ⋮ Computing the Exact Fisher Information Matrix of Periodic State-Space Models ⋮ An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models ⋮ Calculation of the Fisher Information Matrix for Periodic ARMA 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
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