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An explicit expression for the Fisher information matrix of a multiple time series process

✍ Scribed by André Klein; Peter Spreij

Publisher: Elsevier Science
Year: 2006
Tongue: English
Weight: 123 KB
Volume: 417
Category: Article
ISSN: 0024-3795
DOI: 10.1016/j.laa.2005.04.024

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In a pioneering paper Whittle developed a formula for expressing Fisher's information matrix of multivariate time series models (cf. P. Whittle, J. Royal Statist Soc. B 15 (1953) 125-139). It is described as a function of the spectral density of the time series process. The existing relationship is