The Bezoutian, state space realizations and Fisher's information matrix of an ARMA process
| Authors | |
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| Publication date | 2006 |
| Journal | Linear Algebra and Its Applications |
| Volume | Issue number | 416 | 1 |
| Pages (from-to) | 160-174 |
| Number of pages | 15 |
| Organisations |
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| Abstract | 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. |
| Document type | Article |
| Note | In: Special Issue devoted to the Haifa 2005 conference on matrix theory |
| Language | English |
| Published at |
https://doi.org/10.1016/j.laa.2006.02.016
(Final published version)
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