FISHER'S INFORMATION MATRIX FOR SEASONAL AUTOREGRESSIVE-MOVING AVERAGE MODELS

DOI10.1111/J.1467-9892.1990.TB00054.XMaRDI QIDQ3497074zbMATH OpenOpenAlexFDO

Authors André Klein, Guy Mélard

Publication date 1990

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1990.tb00054.x

zbMATH Keywords

asymptotic covariance matrixautocorrelation functionFisher's information matrixGaussian maximum likelihood estimatorsintegrals of rational functionsmultiplicative seasonal autoregressive-moving average processSARMA modelstime series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• A Note on the Information Matrix for Multiplicative Seasonal Autoregressive Moving-Average Models
• On the Fisher information matrix of a vector ARMA process
• Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules
• An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models
• Calculation of the Fisher Information Matrix for Periodic ARMA Models

Cites work

• A note on obtaining the theoretical autocovariances of an ARMA process
• Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
• Computing the likelihood and its dierivatives for a gaussian ARMA model
• Estimation and information in stationary time series
• Evaluation of the covariance matrix for the maximum likelihood estimator of a Gaussian autoregressive-moving average process
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3875113 (Why is no real title available?)
• THE EVALUATION OF INTEGRALS OF PRODUCTS OF LINEAR SYSTEM RESPONSES

Cited in

(14)

• The information matrix of multiple-input single-output time series models
• A generalization of Whittle's formula for the information matrix of vector-mixed time series
• Computation of the exact information matrix of Gaussian dynamic regression time series models
• Computation of the Fisher information matrix for time series models
• Fisher information framework for time series modeling
• An algorithm for the exact Fisher information matrix of vector ARMAX time series
• On the Fisher information matrix of a vector ARMA process
• On the Evaluation of the Information Matrix for Multiplicative Seasonal Time-Series Models
• A Note on the Information Matrix for Multiplicative Seasonal Autoregressive Moving-Average Models
• Computing and estimating information matrices of weak ARMA models
• Fisher information and maximum-likelihood estimation of covariance parameters in Gaussian stochastic processes
• An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models
• Calculation of the Fisher Information Matrix for Periodic ARMA Models
• Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models

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