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An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models

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  • André Klein
  • Guy Mélard

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.

Suggested Citation

  • 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.
    • Handle: RePEc:bla:jtsera:v:25:y:2004:i:5:p:627-648
    DOI: 10.1111/j.1467-9892.2004.01863.x
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    References listed on IDEAS

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    1. Drost, F.C. & Klaassen, C.A.J. & Werker, B.J.M., 1994. "Adaptive estimation in time-series models," Discussion Paper 1994-88, Tilburg University, Center for Economic Research.
    2. Marc Hallin & Bas Werker, 1998. "Optimal testing for semiparametric autoregressive models: from Gaussian Lagrange multipliers to regression rank scores and adaptive tests," ULB Institutional Repository 2013/2221, ULB -- Universite Libre de Bruxelles.
    3. André Klein & Guy Melard, 1990. "Fisher's information matrix for seasonal autoregressive-moving average models," ULB Institutional Repository 2013/13718, ULB -- Universite Libre de Bruxelles.
    4. André Klein & Guy Melard, 1994. "The information matrix of multiple input single output time series models," ULB Institutional Repository 2013/13732, ULB -- Universite Libre de Bruxelles.
    5. André Klein & Guy Melard, 1989. "On algorithms for computing the covariance matrix of estimates in autoregresive-moving average processes," ULB Institutional Repository 2013/13710, ULB -- Universite Libre de Bruxelles.
    6. André Klein & Guy Melard, 1994. "Computation of the Fisher information matrix for SISO models," ULB Institutional Repository 2013/13728, ULB -- Universite Libre de Bruxelles.
    7. André Klein & Guy Melard & Toufik Zahaf, 1998. "Computation of the exact information matrix of Gaussian dynamic regression time series models," ULB Institutional Repository 2013/13738, ULB -- Universite Libre de Bruxelles.
    8. 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.
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    Cited by:

    1. Abdelhamid Ouakasse & Guy Mélard, 2017. "A New Recursive Estimation Method for Single Input Single Output Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(3), pages 417-457, May.
    2. Boubacar Mainassara, Y. & Carbon, M. & Francq, C., 2012. "Computing and estimating information matrices of weak ARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 56(2), pages 345-361.

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