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On algorithms for computing the covariance matrix of estimates in autoregresive-moving average processes

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  • André Klein
  • Guy Melard

Abstract

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  • 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.
    • Handle: RePEc:ulb:ulbeco:2013/13710
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    Cited by:

    1. 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.
    2. 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.
    3. Abdelhamid Ouakasse & Guy Melard, 2002. "Estimation en ligne pour le modèle ARMA," ULB Institutional Repository 2013/13826, ULB -- Universite Libre de Bruxelles.
    4. Abdelhamid Ouakasse & Guy Melard, 2014. "On-line estimation of ARMA models using Fisher-scoring," ULB Institutional Repository 2013/13844, ULB -- Universite Libre de Bruxelles.
    5. 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.
    6. André Klein & Guy Melard, 1995. "Computation of the Fisher information matrix for time series models," ULB Institutional Repository 2013/13736, ULB -- Universite Libre de Bruxelles.
    7. André Klein & Guy Melard, 2004. "An algorithm for computing the asymptotic Fisher information matrix for seasonal SISO models," ULB Institutional Repository 2013/13746, ULB -- Universite Libre de Bruxelles.

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