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The asymptotic and exact Fisher information matrices of a vector ARMA process

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  • Klein, André
  • Mélard, Guy
  • Saidi, Abdessamad

Abstract

The exact Fisher information matrix of a Gaussian vector autoregressive-moving average (VARMA) process has been considered for a time series of length N in relation to the exact maximum likelihood estimation method. In this paper it is shown that the Gaussian exact Fisher information matrix converges to the asymptotic Fisher information matrix when N goes to infinity.

Suggested Citation

  • Klein, André & Mélard, Guy & Saidi, Abdessamad, 2008. "The asymptotic and exact Fisher information matrices of a vector ARMA process," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1430-1433, September.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:12:p:1430-1433
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    References listed on IDEAS

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    1. Guy Melard & André Klein, 1994. "On a fast algorithm for the exact information matrix of a Gaussian ARMA time series," ULB Institutional Repository 2013/13730, ULB -- Universite Libre de Bruxelles.
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    Cited by:

    1. Bao, Yong & Hua, Ying, 2014. "On the Fisher information matrix of a vector ARMA process," Economics Letters, Elsevier, vol. 123(1), pages 14-16.
    2. Cavicchioli, Maddalena, 2017. "Asymptotic Fisher information matrix of Markov switching VARMA models," Journal of Multivariate Analysis, Elsevier, vol. 157(C), pages 124-135.

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