An algorithm for the exact Fisher information matrix of vector ARMAX time series
نویسندگان
چکیده
منابع مشابه
On the solution of Stein's equation and Fisher information matrix of an ARMAX process
The main goal of this paper consists in expressing the solution of a Stein equation in terms of the Fisher information matrix (FIM) of a scalar ARMAX process. A condition for expressing the FIM in terms of a solution to a Stein equation is also set forth. Such interconnections can be derived when a companion matrix with eigenvalues equal to the roots of an appropriate polynomial associated with...
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ژورنال
عنوان ژورنال: Linear Algebra and its Applications
سال: 2014
ISSN: 0024-3795
DOI: 10.1016/j.laa.2013.12.031