Computing the exact Fisher information matrix of periodic state-space models

DOI10.1080/03610926.2011.569864MaRDI QIDQ4904680zbMATH OpenOpenAlexFDO

Authors Fayçal Hamdi

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

zbMATH Keywords

Fisher information matrixChandrasekhar-type recursionsperiodic state-space modelsperiodic VARMA model

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• scientific article; zbMATH DE number 193291 (Why is no real title available?)
• Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
• Analytic derivatives for estimation of linear dynamic models
• Calculating the autocovariances and the likelihood for periodic V ARMA models
• Calculation of the Fisher Information Matrix for Periodic ARMA Models
• Chandrasekhar-type filter for a wide-sense stationary signal from uncertain observations using covariance information
• Computation of the exact information matrix of Gaussian dynamic regression time series models
• Computing the likelihood and its dierivatives for a gaussian ARMA model
• Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules
• Extended Chandrasekhar recursions
• Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples
• On computing the expected Fisher information matrix for state-space model parameters
• On periodic and multiple autoregressions
• Testing for periodic autocorrelations in seasonal time series data

Cited in

(9)

• A direct derivation of the exact Fisher information matrix of Gaussian vector state space models
• A unified square-root approach for the score and Fisher information matrix computation in linear dynamic systems
• Fisher information matrix of binary time series
• On Markov-switching periodicARMAmodels
• Computation of the exact information matrix of Gaussian dynamic regression time series models
• An algorithm for the exact Fisher information matrix of vector ARMAX time series
• Computation of the Fisher information matrix for time series models
• Calculation of the Fisher Information Matrix for Periodic ARMA Models
• Computing exact score vectors for linear Gaussian state space models

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