Computing the Exact Fisher Information Matrix of Periodic State-Space Models
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Publication:4904680
DOI10.1080/03610926.2011.569864zbMath1284.65016MaRDI QIDQ4904680
Publication date: 31 January 2013
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2011.569864
Fisher information matrix; Chandrasekhar-type recursions; periodic state-space models; periodic VARMA model
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62B10: Statistical aspects of information-theoretic topics
Related Items
Cites Work
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