On the Evaluation of the Information Matrix for Multiplicative Seasonal Time-Series Models

DOI10.1111/J.1467-9892.2005.00461.XMaRDI QIDQ3440755zbMATH OpenOpenAlexFDO

Authors E. J. Godolphin, S. R. Bane

Publication date 29 May 2007

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2005.00461.x

zbMATH Keywords

asymptotic covariance matrixFisher informationmaximum likelihood estimation

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A direct representation for the maximum likelihood estimator of a Gaussian moving average process
• An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models
• An Algorithm for the Inversion of Finite Toeplitz Matrices
• Bayesian forecasting and dynamic models.
• Computation of the exact information matrix of Gaussian dynamic regression time series models
• scientific article; zbMATH DE number 1220667 (Why is no real title available?)
• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• scientific article; zbMATH DE number 3070807 (Why is no real title available?)
• Observable trend-projecting state-space models

Cited in

(9)

• The information matrix of multiple-input single-output time series models
• On the Fisher information matrix of a vector ARMA process
• A Note on the Information Matrix for Multiplicative Seasonal Autoregressive Moving-Average Models
• scientific article; zbMATH DE number 1240617 (Why is no real title available?)
• Computing and estimating information matrices of weak ARMA models
• scientific article; zbMATH DE number 2020787 (Why is no real title available?)
• Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models
• A new recursive estimation method for single input single output models
• The asymptotic and exact Fisher information matrices of a vector ARMA process

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