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FISHER'S INFORMATION MATRIX FOR SEASONAL AUTOREGRESSIVE‐MOVING AVERAGE MODELS
Author(s) -
Klein André,
Mélard Guy
Publication year - 1990
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1990.tb00054.x
Subject(s) - mathematics , fisher information , autoregressive model , autocorrelation , autocorrelation matrix , star model , covariance matrix , estimator , multiplicative function , autoregressive–moving average model , statistics , moving average model , matrix (chemical analysis) , autoregressive integrated moving average , mathematical analysis , time series , materials science , composite material
. Two procedures are described for obtaining Fisher's information matrix of a multiplicative seasonal autoregressive‐moving average process. They can be useful in determining the asymptotic covariance matrix of Gaussian maximum likelihood estimators of the parameters. Components of the information matrix are expressed in the first procedure as integrals of rational functions. The second procedure makes use of the autocorrelation function of several autoregressive processes.