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An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models.
- Source :
- Journal of Time Series Analysis; Sep2004, Vol. 25 Issue 5, p627-648, 22p
- Publication Year :
- 2004
-
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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 01439782
- Volume :
- 25
- Issue :
- 5
- Database :
- Complementary Index
- Journal :
- Journal of Time Series Analysis
- Publication Type :
- Academic Journal
- Accession number :
- 13942810
- Full Text :
- https://doi.org/10.1111/j.1467-9892.2004.01863.x