On the resultant property of the Fisher information matrix of a vector ARMA process
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common eigenvaluesFisher information matrixmatrix polynomialmultiple resultant matrixnumerical examplestensor Sylvester matrixVARMA processvector autoregressive and moving average time series
Factorization of matrices (15A23) Multilinear algebra, tensor calculus (15A69) Hermitian, skew-Hermitian, and related matrices (15B57) Statistical aspects of information-theoretic topics (62B10) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cites work
- A direct derivation of the exact Fisher information matrix of Gaussian vector state space models
- A generalization of Whittle's formula for the information matrix of vector-mixed time series
- A METHOD FOR GENERATING INDEPENDENT REALIZATIONS OF A MULTIVARIATE NORMAL STATIONARY AND INVERTIBLE ARMA(p, q) PROCESS
- Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules
- Geometry of the Cramér-Rao bound
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- Hypothesis testing of common roots
- Inertia characteristics of self-adjoint matrix polynomials
- On Fisher's information matrix of an ARMAX process and Sylvester's resultant matrices
- Resultants of matrix polynomials
- The Cramér--Rao lower bound for noisy input--output systems.
- The information matrices of the parameters of multiple mixed time series
- The information matrix of multiple-input single-output time series models
Cited in
(21)- On the solution of Stein's equation and Fisher's information matrix of an ARMAX process
- On Fisher's information matrix of an ARMAX process and Sylvester's resultant matrices
- Strictly stationary solutions of multivariate ARMA equations with i.i.d. noise
- Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
- A simulation algorithm for non-causal VARMA processes
- Business cycle analysis and VARMA models
- Asymptotic Fisher information matrix of Markov switching VARMA models
- An algorithm for the exact Fisher information matrix of vector ARMAX time series
- On the Fisher information matrix of a vector ARMA process
- The Bezoutian, state space realizations and Fisher's information matrix of an ARMA process
- An explicit expression for the Fisher information matrix of a multiple time series process
- Matrix algebraic properties of the Fisher information matrix of stationary processes
- scientific article; zbMATH DE number 1066380 (Why is no real title available?)
- Calculation of the Fisher Information Matrix for Periodic ARMA Models
- The co-integrated vector autoregression with errors-in-variables
- On Stein's equation, Vandermonde matrices and Fisher's information matrix of time series processes. I: The autoregressive moving average process
- Exact Fisher information of generalized Dirichlet multinomial distribution for count data modeling
- Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes
- The asymptotic and exact Fisher information matrices of a vector ARMA process
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- Efficient Monte Carlo computation of Fisher information matrix using prior information
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