scientific article; zbMATH DE number 1066380

zbMATH Open0890.62069MaRDI QIDQ4357569FDOQ4357569

Authors: André Klein, Peter Spreij 

Publication date: 25 September 1997

Title of this publication is not available (Why is that?)

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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)

Cited In (9)

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

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