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

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

Andre 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

time series; autocorrelation function; asymptotic covariance matrix; Fisher's information matrix; Gaussian maximum likelihood estimators; integrals of rational functions; multiplicative seasonal autoregressive-moving average process; SARMA models

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

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

Related Items

Calculation of the Fisher Information Matrix for Periodic ARMA Models, Computing and estimating information matrices of weak ARMA models, The information matrix of multiple-input single-output time series models, Computation of the exact information matrix of Gaussian dynamic regression time series models, Computation of the Fisher information matrix for time series models

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