scientific article; zbMATH DE number 1066380

MaRDI QIDQ4357569zbMATH OpenFDO

Authors André Klein, Peter Spreij

Publication date 25 September 1997

zbMATH Keywords

autoregressive moving averagewhite noise processFisher's information matrixstate space formstationary ARMA processSylvester's resultant matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Identification in stochastic control theory (93E12)

Recommendations

• On Fisher's information matrix of an ARMAX process and Sylvester's resultant matrices
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Cited in

(9)

• An explicit expression for the Fisher information matrix of a multiple time series process
• Calculation of the Fisher Information Matrix for Periodic ARMA Models
• Uniform moment bounds of Fisher's information with applications to time series
• On Stein's equation, Vandermonde matrices and Fisher's information matrix of time series processes. I: The autoregressive moving average process
• On the resultant property of the Fisher information matrix of a vector ARMA process
• On the solution of Stein's equation and Fisher's information matrix of an ARMAX process
• The Bezoutian, state space realizations and Fisher's information matrix of an ARMA process
• Computation of the exact information matrix of Gaussian dynamic regression time series models
• Asymptotic Fisher information matrix of Markov switching VARMA models

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