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The asymptotic and exact Fisher information matrices of a vector ARMA process

✍ Scribed by André Klein; Guy Mélard; Abdessamad Saidi


Book ID
108267488
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
213 KB
Volume
78
Category
Article
ISSN
0167-7152

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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