An algorithm for computing the asymptotic Fisher information matrix for seasonal SISO models
| Authors |
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| Publication date | 2004 |
| Journal | Journal of Time Series Analysis |
| Volume | Issue number | 25 | 5 |
| Pages (from-to) | 627-648 |
| Number of pages | 22 |
| Organisations |
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| 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. |
| Document type | Article |
| Published at |
https://doi.org/10.1111/j.1467-9892.2004.01863.x
(Final published version)
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| Published at | |
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