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- Title
An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models.
- Authors
Klein, André; Mélard, Guy
- Abstract
The paper presents an algorithm for computing the asymptotic Fisher information matrix of a possibly seasonal single-input single-output (SISO) time-series model. That matrix is a block matrix whose elements are basically integrals of rational functions over the oriented unit circle. The procedure makes use of the autocovariance or the cross-covariance function of two autoregressive processes based on the same noise. The algorithm also works when the input variable is omitted, the case of a seasonal ARMA model.
- Subjects
MATRICES (Mathematics); TIME series analysis; MATHEMATICAL statistics; PROBABILITY theory; ALGORITHMS; ALGEBRA
- Publication
Journal of Time Series Analysis, 2004, Vol 25, Issue 5, p627
- ISSN
0143-9782
- Publication type
Article
- DOI
10.1111/j.1467-9892.2004.01863.x