- The Bezoutian, state space realizations and Fisher's information matrix of an ARMA process
- Linear Algebra and its Applications
- Volume | Issue number
- 416 | 1
- Pages (from-to)
- Number of pages
- Document type
- Faculty of Economics and Business (FEB)
Faculty of Science (FNWI)
- Amsterdam School of Economics Research Institute (ASE-RI)
Korteweg-de Vries Institute for Mathematics (KdVI)
In this paper we derive some properties of the Bezout matrix and relate the Fisher information matrix for a stationary ARMA process to the Bezoutian. Some properties are explained via realizations in state space form of the derivatives of the white noise process with respect to the parameters. A factorization of the Fisher information matrix as a product in factors which involve the Bezout matrix of the associated AR and MA polynomials is derived. From this factorization we can characterize singularity of the Fisher information matrix.
- go to publisher's site
- In: Special Issue devoted to the Haifa 2005 conference on matrix theory
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