- On the application of Vandermonde matrices to time series analysis
- Document type
- Working paper
- Faculty of Science (FNWI)
- Korteweg-de Vries Institute for Mathematics (KdVI)
- In this paper we present a way to compute the Fisher information matrix of an ARMAprocess. The computation is based on the fact that this matrix satisfies a Stein equation. Solutions of the Stein equation are relatively easy to compute as soon as one knows how to invert a Vandermonde matrix (in the generic case where all zeros and poles of the transfer function have multiplicity one) or a confluent Vandermonde matrix (in the general case).
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