The information matrix of multiple-input single-output time series models

DOI10.1016/0377-0427(92)00116-QMaRDI QIDQ1339357zbMATH OpenFDO

Authors A. A. B. Klein, Guy Mélard

Publication date 2 May 1995

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

ARMA processesinformation matrixARMAXmultiple regression modelcorrelated inputsautoregressive moving average exogenous modelmultiple-input single-output model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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Cites work

• scientific article; zbMATH DE number 4199391 (Why is no real title available?)
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 3086018 (Why is no real title available?)
• Asymptotic variance expressions for identified black-box transfer function models
• FISHER'S INFORMATION MATRIX FOR SEASONAL AUTOREGRESSIVE-MOVING AVERAGE MODELS
• Maximum likelihood identification of Gaussian autoregressive moving average models
• The information matrices of the parameters of multiple mixed time series

Cited in

(10)

• Accuracy of linear multiple-input multiple-output (MIMO) models obtained by maximum likelihood estimation
• An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models
• Identification of multi-input systems: variance analysis and input design issues
• Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules
• Binary versus non-binary information in real time series: empirical results and maximum-entropy matrix models
• Variance analysis of identified linear MISO models having spatially correlated inputs, with application to parallel Hammerstein models
• 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
• Computation of the Fisher information matrix for time series models
• On the resultant property of the Fisher information matrix of a vector ARMA process

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