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

DOI10.1111/j.1467-9892.2005.00461.xzbMath1112.62093OpenAlexW2050750537MaRDI QIDQ3440755

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

maximum likelihood estimationFisher informationasymptotic covariance matrix

Mathematics Subject Classification ID

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

Related Items (6)

A New Recursive Estimation Method for Single Input Single Output Models ⋮ A Note on the Information Matrix for Multiplicative Seasonal Autoregressive Moving-Average Models ⋮ Computing and estimating information matrices of weak ARMA models ⋮ On the Fisher information matrix of a vector ARMA process ⋮ Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models ⋮ The asymptotic and exact Fisher information matrices of a vector ARMA process

Cites Work

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• Observable trend-projecting state-space models
• An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models
• An Algorithm for the Inversion of Finite Toeplitz Matrices

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