par Klein, André;Melard, Guy 
Référence Journal of Time Series Analysis, 11, 3, page (231-237)
Publication Publié, 1990-05
Référence Journal of Time Series Analysis, 11, 3, page (231-237)
Publication Publié, 1990-05
Article révisé par les pairs
| Résumé : | 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. |
