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Fisher'S Information Matrix For Seasonal Autoregressive‐Moving Average Models

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  • André Klein
  • Guy Mélard

Abstract

. 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.

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  • André Klein & Guy Mélard, 1990. "Fisher'S Information Matrix For Seasonal Autoregressive‐Moving Average Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 11(3), pages 231-237, May.
    • Handle: RePEc:bla:jtsera:v:11:y:1990:i:3:p:231-237
    DOI: 10.1111/j.1467-9892.1990.tb00054.x
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    Cited by:

    1. André Klein & Guy Mélard, 2004. "An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 627-648, September.

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