- The asymptotic and exact Fisher information matrices of a vector ARMA process
- Statistics & Probability Letters
- Volume | Issue number
- 78 | 12
- Pages (from-to)
- Number of pages
- Document type
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
- The exact Fisher information matrix of a Gaussian vector autoregressive-moving average (VARMA) process has been considered
for a time series of length N in relation to the exact maximum likelihood estimation method. In this paper it is shown that
the Gaussian exact Fisher information matrix converges to the asymptotic Fisher information matrix when N goes to infinity.
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