Fisher's information matrix for seasonal autoregressive-moving average models

André Klein and Guy Melard

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

Abstract: Two procedures are described for obtaining Fisher's information matrix of a multiplicative seasonal autoregressive-moving average process. They can be useful in determining the asymptotic covariance matrix of Gaussian maximum likelihood estimators of the parameters. Components of the information matrix are expressed in the first procedure as integrals of rational functions. The second procedure makes use of the autocorrelation function of several autoregressive processes.

Date: 1990-05
Note: FLWNA
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Citations: View citations in EconPapers (9)

Published in: Journal of Time Series Analysis (1990) v.11 n° 3,p.231-237

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