On Fisher's information matrix of an ARMA process
| Authors | |
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| Publication date | 1997 |
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| Book title | Stochastic Differential and Difference Equations |
| ISBN |
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| ISBN (electronic) |
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| Series | Progress in Systems and Control Theory |
| Event | Conference on Stochastic Differential and Difference Equations |
| Pages (from-to) | 273-284 |
| Publisher | Boston: Birkhäuser |
| Organisations |
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| 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
(Final published version)
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