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Computation of the Fisher information matrix for time series models

✍ Scribed by André Klein; Guy Mélard


Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
745 KB
Volume
64
Category
Article
ISSN
0377-0427

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A direct derivation of the exact Fisher
✍ A. Klein; H. Neudecker 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 60 KB

This paper deals with a direct derivation of Fisher's information matrix of vector state space models for the general case, by which is meant the establishment of the matrix as a whole and not element by element. The method to be used is matrix differentiation, see [4]. We assume the model to be Gau