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

DOI10.1111/j.1467-9892.1990.tb00054.xzbMath0711.62075OpenAlexW2012629627MaRDI QIDQ3497074

Guy Mélard, Andre Klein

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

time seriesautocorrelation functionasymptotic covariance matrixFisher's information matrixGaussian maximum likelihood estimatorsintegrals of rational functionsmultiplicative seasonal autoregressive-moving average processSARMA models

Mathematics Subject Classification ID

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

Related Items (7)

The information matrix of multiple-input single-output time series models ⋮ Computation of the Fisher information matrix for time series models ⋮ Computing and estimating information matrices of weak ARMA models ⋮ An algorithm for the exact Fisher information matrix of vector ARMAX time series ⋮ Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models ⋮ Calculation of the Fisher Information Matrix for Periodic ARMA Models ⋮ Computation of the exact information matrix of Gaussian dynamic regression time series models

Cites Work

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• Estimation and information in stationary time series
• Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
• Evaluation of the covariance matrix for the maximum likelihood estimator of a Gaussian autoregressive-moving average process
• Computing the likelihood and its dierivatives for a gaussian ARMA model
• A note on obtaining the theoretical autocovariances of an ARMA process
• THE EVALUATION OF INTEGRALS OF PRODUCTS OF LINEAR SYSTEM RESPONSES

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