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Query: faculty: "FEB" and publication year: "2004"

AuthorsA.A.B. Klein, G. Mélard
TitleAn algorithm for computing the asymptotic Fisher information matrix for seasonal SISO models
JournalJournal of Time Series Analysis
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractThe paper presents an algorithm for computing the asymptotic Fisher information matrix of a possibly seasonal single-input single-output (SISO) time-series model. That matrix is a block matrix whose elements are basically integrals of rational functions over the oriented unit circle. The procedure makes use of the autocovariance or the cross-covariance function of two autoregressive processes based on the same noise. The algorithm also works when the input variable is omitted, the case of a seasonal ARMA model.
Document typeArticle
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