On the resultant property of the Fisher information matrix of a vector ARMA process

DOI10.1016/J.LAA.2005.02.006zbMATH Open1084.15021OpenAlexW2101006133MaRDI QIDQ2484496FDOQ2484496

Authors: Guy Mélard, Peter Spreij, André Klein 

Publication date: 1 August 2005

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

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/171138/1/TR0443.pdf

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zbMATH Keywords

numerical examplesFisher information matrixmatrix polynomialcommon eigenvaluesVARMA processmultiple resultant matrixtensor Sylvester matrixvector autoregressive and moving average time series

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Factorization of matrices (15A23) Multilinear algebra, tensor calculus (15A69) Hermitian, skew-Hermitian, and related matrices (15B57)

Cites Work

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Cited In (19)

• Strictly stationary solutions of multivariate ARMA equations with i.i.d. noise
• Asymptotic Fisher information matrix of Markov switching VARMA models
• The asymptotic and exact Fisher information matrices of a vector ARMA process
• Exact Fisher information of generalized Dirichlet multinomial distribution for count data modeling
• A simulation algorithm for non-causal VARMA processes
• Matrix algebraic properties of the Fisher information matrix of stationary processes
• Efficient Monte Carlo computation of Fisher information matrix using prior information
• On Stein's equation, Vandermonde matrices and Fisher's information matrix of time series processes. I: The autoregressive moving average process
• Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes
• Matrix differential calculus applied to multiple stationary time series and an extended Whittle formula for information matrices
• The co-integrated vector autoregression with errors-in-variables
• On the Fisher information matrix of a vector ARMA process
• On the solution of Stein's equation and Fisher's information matrix of an ARMAX process
• An explicit expression for the Fisher information matrix of a multiple time series process
• 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
• The Bezoutian, state space realizations and Fisher's information matrix of an ARMA process
• Business cycle analysis and VARMA models
• Calculation of the Fisher Information Matrix for Periodic ARMA Models

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