Computing the exact Fisher information matrix of periodic state-space models
DOI10.1080/03610926.2011.569864zbMATH Open1284.65016OpenAlexW2096671153MaRDI QIDQ4904680FDOQ4904680
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
Recommendations
- Calculation of the Fisher Information Matrix for Periodic ARMA Models
- Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules
- An algorithm for the exact Fisher information matrix of vector ARMAX time series
- On computing the expected Fisher information matrix for state-space model parameters
- Computation of the Fisher information matrix for time series models
Fisher information matrixChandrasekhar-type recursionsperiodic state-space modelsperiodic VARMA model
Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
- Title not available (Why is that?)
- On periodic and multiple autoregressions
- Title not available (Why is that?)
- Extended Chandrasekhar recursions
- Testing for periodic autocorrelations in seasonal time series data
- Computing the likelihood and its dierivatives for a gaussian ARMA model
- Chandrasekhar-type filter for a wide-sense stationary signal from uncertain observations using covariance information
- Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples
- Analytic derivatives for estimation of linear dynamic models
- Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules
- On computing the expected Fisher information matrix for state-space model parameters
- Computation of the exact information matrix of Gaussian dynamic regression time series models
- Calculation of the Fisher Information Matrix for Periodic ARMA Models
- Calculating the autocovariances and the likelihood for periodic V ARMA models
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
This page was built for publication: Computing the exact Fisher information matrix of periodic state-space models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4904680)
