On computing the expected Fisher information matrix for state-space model parameters

Joseph E. Cavanaugh and Robert H. Shumway

Statistics & Probability Letters, 1996, vol. 26, issue 4, 347-355

Abstract: A general, recursive algorithm is presented for computing the expected Fisher information matrix for state-space model parameters. Simulation results are featured where known Fisher information matrices corresponding to simple state-space models are estimated using both observed and expected information matrices. The accuracy of the two approaches is compared.

Keywords: EM; algorithm; Kalman; filter; Recursive; algorithm; Time; series (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (8)

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