- An algorithm for computing the asymptotic Fisher information matrix for seasonal SISO models
- Journal of Time Series Analysis
- Volume | Issue number
- 25 | 5
- Pages (from-to)
- Number of pages
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
The 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.
- go to publisher's site
If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library, or send a letter to: Library of the University of Amsterdam, Secretariat, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible.