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

par Klein, André;Melard, Guy
Référence Journal of Time Series Analysis, 25, 5, page (627-648)
Publication Publié, 2004-09

Article révisé par les pairs

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Résumé :

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.