| Authors |
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| Publication date |
2004
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| Journal |
Journal of Time Series Analysis
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| Volume | Issue number |
25 | 5
|
| Pages (from-to) |
627-648
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| Number of pages |
22
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| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
|
| Abstract |
The paper presents an algorithm for computing the asymptotic Fisher information matrix of a possibly seasonal single-input single-output (SISO) time-series model. That matrix is a block matrix whose elements are basically integrals of rational functions over the oriented unit circle. The procedure makes use of the autocovariance or the cross-covariance function of two autoregressive processes based on the same noise. The algorithm also works when the input variable is omitted, the case of a seasonal ARMA model.
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| Document type |
Article
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| Published at |
https://doi.org/10.1111/j.1467-9892.2004.01863.x
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| Published at |
http://www.blackwell-synergy.com/toc/jtsa/25/5
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