An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models

DOI10.1111/j.1467-9892.2004.01863.xzbMath1063.62126OpenAlexW2149502915MaRDI QIDQ4677034

Guy Mélard, Andre Klein

Publication date: 20 May 2005

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

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/13746/1/KM3V4.pdf

zbMATH Keywords

algorithmcomputingasymptotic Fisher information matrixseasonal SISO models

Mathematics Subject Classification ID

Related Items (7)

Matrix algebraic properties of the Fisher information matrix of stationary processes ⋮ A New Recursive Estimation Method for Single Input Single Output Models ⋮ A Note on the Information Matrix for Multiplicative Seasonal Autoregressive Moving-Average Models ⋮ Computing and estimating information matrices of weak ARMA models ⋮ Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models ⋮ On the solution of Stein's equation and Fisher's information matrix of an ARMAX process ⋮ On the Evaluation of the Information Matrix for Multiplicative Seasonal Time-Series Models

Uses Software

• AUTOBOX

Cites Work

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• On Fisher's information matrix of an ARMAX process and Sylvester's resultant matrices
• Some efficient computational procedures for high order ARMA models
• A Newton-Raphson method for moving-average spectral factorization using the Euclid algorithm
• On the computation of the Cramer-Rao bound for ARMA parameter estimation
• Cramer-Rao bounds for AR parameter and reflection coefficient estimators
• The Euclid algorithm and the fast computation of cross-covariance and autocovariance sequences
• Self-tuning control of a fixed-bed chemical reactor system

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