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On a fast algorithm for the exact information matrix of a Gaussian ARMA time series

✍ Scribed by Melard, G.; Klein, A.


Book ID
119789880
Publisher
IEEE
Year
1994
Tongue
English
Weight
287 KB
Volume
42
Category
Article
ISSN
1053-587X

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A generalization of Whittle's formula fo
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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