A generalization of Whittle's formula fo
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AndrΓ© Klein
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Article
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2000
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Elsevier Science
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English
β 105 KB
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