ar X iv : m at h / 05 05 22 4 v 1 [ m at h . ST ] 1 1 M ay 2 00 5 The Bezoutian and Fisher ’ s information matrix of an ARMA process
نویسنده
چکیده
In this paper we derive some properties of the Bezout matrix and relate the Fisher information matrix for a stationary ARMA process to the Bezoutian. Some properties are explained via realizations in state space form of the derivatives of the white noise process with respect to the parameters. A factorization of the Fisher information matrix as a product in factors which involve the Bezout matrix of the associated AR and MA polynomials is derived. From this factorization we can characterize singularity of the Fisher information matrix.
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تاریخ انتشار 2005