An algorithm for computing the asymptotic Fisher information matrix for seasonal SISO models

André Klein and Guy Melard

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

Abstract: The paper presents an algorithm for computing the asymptotic Fisher information matrix of a possibly seasonal single-input single-output (SISO) time-series model. That matrix is a block matrix whose elements are basically integrals of rational functions over the oriented unit circle. The procedure makes use of the autocovariance or the cross-covariance function of two autoregressive processes based on the same noise. The algorithm also works when the input variable is omitted, the case of a seasonal ARMA model.

Date: 2004-09
Note: FLWIN
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Citations: View citations in EconPapers (3)

Published in: Journal of Time Series Analysis (2004) v.25 n° 5,p.627-648

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