 A Note on the Information Matrix for Multiplicative Seasonal Autoregressive Moving‐Average ModelsE. J. Godolphin and J. D. Godolphin Journal of Time Series Analysis, 2007, vol. 28, issue 5, 783-791 Abstract: Abstract. It is shown that there is an invariance property for each of the elements of the information matrix of a multiplicative seasonal autoregressive moving‐average time‐series model, which enables the integral specification of Whittle (1953a,b) to be solved in a straightforward way. The resulting non‐iterative closed procedure shares the property possessed by the piecemeal approach of Godolphin and Bane (2006) of being independent of the seasonal period, but our procedure is preferable if one or more orders of the seasonal components of the model are greater than unity. The procedure is therefore simpler, in general, than the iterative method of Klein and Mélard (1990) that depends necessarily on the seasonal period. In the strictly non‐seasonal case this invariance property prescribes a non‐iterative closed procedure for evaluating the information matrix which improves on the methods of Godolphin and Unwin (1983), Friedlander (1984), McLeod (1984) and Klein and Spreij (2003). Three illustrations of the approach are given. Date: 2007 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:28:y:2007:i:5:p:783-791 Ordering information: This journal article can be ordered from Access Statistics for this article Journal of Time Series Analysis is currently edited by M.B. Priestley More articles in Journal of Time Series Analysis from Wiley Blackwell |
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