The Bezoutian, state space realizations and Fisher's information matrix of an ARMA process

DOI10.1016/J.LAA.2006.02.016MaRDI QIDQ2497248zbMATH OpenOpenAlexFDO

Authors Peter Spreij, André Klein

Publication date 4 August 2006

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

Full work available at URL https://arxiv.org/abs/math/0505224

zbMATH Keywords

ARMA processBezout matrixFisher information matrixstate space realizationStein's equationSylvester's resultant matrix

Mathematics Subject Classification ID

Factorization of matrices (15A23) Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Realizations from input-output data (93B15)

Abstract: In this paper we derive some properties of the Bezout matrix and relate the Fisher information matrix for a stationary ARMA process to the Bezoutian. Some properties are explained via realizations in state space form of the derivatives of the white noise process with respect to the parameters. A factorization of the Fisher information matrix as a product in factors which involve the Bezout matrix of the associated AR and MA polynomials is derived. From this factorization we can characterize singularity of the Fisher information matrix.

Recommendations

• scientific article; zbMATH DE number 1066380
• On the resultant property of the Fisher information matrix of a vector ARMA process
• On the Fisher information matrix of a vector ARMA process
• The asymptotic and exact Fisher information matrices of a vector ARMA process
• On Fisher's information matrix of an ARMAX process and Sylvester's resultant matrices
• On the solution of Stein's equation and Fisher's information matrix of an ARMAX process
• scientific article; zbMATH DE number 4172871
• Calculation of the Fisher Information Matrix for Periodic ARMA Models
• NON-SINGULARITY OF FISHER INFORMATION FOR AUTOREGRESSIVE MOYING-AVERAGE PROCESSES

Cites work

• A New Formulation of the Theorems of Hurwitz, Routh and Sturm
• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 1066380 (Why is no real title available?)
• scientific article; zbMATH DE number 3803245 (Why is no real title available?)
• scientific article; zbMATH DE number 921465 (Why is no real title available?)
• scientific article; zbMATH DE number 3222940 (Why is no real title available?)
• scientific article; zbMATH DE number 3223275 (Why is no real title available?)
• Identification in Parametric Models
• Inertia characteristics of self-adjoint matrix polynomials
• Mathematical Description of Linear Dynamical Systems
• Matrices, polynomials, and linear time-variant systems
• On covariance function tests used in system identification
• On Fisher's information matrix of an ARMAX process and Sylvester's resultant matrices
• Some Results on Vandermonde Matrices with an Application to Time Series Analysis
• The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model
• Uniqueness of the maximum likelihood estimates of the parameters of an ARMA model

Cited in

(4)

• On the solution of Stein's equation and Fisher's information matrix of an ARMAX process
• Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
• Matrix algebraic properties of the Fisher information matrix of stationary processes
• scientific article; zbMATH DE number 4172871 (Why is no real title available?)

This page was built for publication: The Bezoutian, state space realizations and Fisher's information matrix of an ARMA process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2497248)