✦ LIBER ✦

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
DOI: 10.1016/j.spl.2007.12.013

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

On the Fisher information matrix of a ve

On the Fisher information matrix of a vector ARMA process

✍ Bao, Yong; Hua, Ying 📂 Article 📅 2014 🏛 Elsevier Science 🌐 English ⚖ 376 KB

On the resultant property of the Fisher

On the resultant property of the Fisher information matrix of a vector ARMA process

✍ André Klein; Guy Mélard; Peter Spreij 📂 Article 📅 2005 🏛 Elsevier Science 🌐 English ⚖ 304 KB

Computing the asymptotic covariance matr

Computing the asymptotic covariance matrix of a vector of sample autocorrelations for ARMA processes

✍ Rolando Cavazos-Cadena 📂 Article 📅 1994 🏛 Elsevier Science 🌐 English ⚖ 729 KB

The Bezoutian, state space realizations

The Bezoutian, state space realizations and Fisher’s information matrix of an ARMA process

✍ André Klein; Peter Spreij 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 184 KB

Tensor Sylvester matrices and the Fisher

Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes

✍ André Klein; Peter Spreij 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 221 KB

A direct derivation of the exact Fisher

A direct derivation of the exact Fisher information matrix of Gaussian vector state space models

✍ 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