Matrix algebraic properties of the Fisher information matrix of stationary processes

DOI10.3390/E16042023zbMATH Open1338.60108OpenAlexW2046312470MaRDI QIDQ296456FDOQ296456

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)

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

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