The asymptotic and exact Fisher information matrices of a vector ARMA process
| Authors |
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| Publication date |
2008
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| Journal |
Statistics & Probability Letters
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| Volume | Issue number |
78 | 12
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| Pages (from-to) |
1430-1433
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| Number of pages |
4
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| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
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| 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.
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| Document type |
Article
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| Published at |
https://doi.org/10.1016/j.spl.2007.12.013
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