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

DOI10.1016/J.LAA.2005.02.006MaRDI QIDQ2484496zbMATHOpenAlexFDO

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

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)

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• A METHOD FOR GENERATING INDEPENDENT REALIZATIONS OF A MULTIVARIATE NORMAL STATIONARY AND INVERTIBLE ARMA(p, q) PROCESS
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• A generalization of Whittle's formula for the information matrix of vector-mixed time series
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• Geometry of the Cramér-Rao bound
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• 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

(19)

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

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