On Fisher's information matrix of an ARMA process

Authors
Publication date 1997
Host editors
  • I. Csiszár
  • G. Michaletzky
Book title Stochastic Differential and Difference Equations
ISBN
  • 9781461273653
ISBN (electronic)
  • 9781461219804
Series Progress in Systems and Control Theory
Event Conference on Stochastic Differential and Difference Equations
Pages (from-to) 273-284
Publisher Boston: Birkhäuser
Organisations
  • Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
Abstract In this paper we study the Fisher information matrix for a stationary ARMA process with the aid of Sylvester’s resultant matrix. Some properties are explained via realizations in state space form of the derivates of the white noise process with respect to the parameters.
Document type Conference contribution
Language English
Published at https://doi.org/10.1007/978-1-4612-1980-4_21
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