The asymptotic and exact Fisher information matrices of a vector ARMA process
| Authors |
|
|---|---|
| Publication date | 2008 |
| Journal | Statistics & Probability Letters |
| Volume | Issue number | 78 | 12 |
| Pages (from-to) | 1430-1433 |
| Number of pages | 4 |
| Organisations |
|
| Abstract |
The exact Fisher information matrix of a Gaussian vector autoregressive-moving average (VARMA) process has been considered for a time series of length N in relation to the exact maximum likelihood estimation method. In this paper it is shown that the Gaussian exact Fisher information matrix converges to the asymptotic Fisher information matrix when N goes to infinity. |
| Document type | Article |
| Published at |
https://doi.org/10.1016/j.spl.2007.12.013
(Final published version)
|
| Permalink to this page | |