Matrix algebraic properties of the Fisher information matrix of stationary processes

DOI10.3390/E16042023MaRDI QIDQ296456zbMATHOpenAlexFDO

Authors André Klein

Publication date 15 June 2016

Published in Entropy (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3390/e16042023

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Point estimation (62F10) Stationary stochastic processes (60G10)

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Cited in

(2)

• Connections between the extreme points for Vandermonde determinants and minimizing risk measure in financial mathematics
• Asymptotic Fisher information matrix of Markov switching VARMA models

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