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The asymptotic and exact Fisher information matrices of a vector ARMA process

par Klein, André;Melard, Guy ;Saidi, Abdessamad
Référence Statistics & probability letters, 78, 12, page (1430-1433)
Publication Publié, 2008-09

Article révisé par les pairs

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Résumé :

The exact Fisher information matrix of a Gaussian vector autoregressive-moving average (VARMA) process has been considered for a time series of length N in relation to the exact maximum likelihood estimation method. In this paper it is shown that the Gaussian exact Fisher information matrix converges to the asymptotic Fisher information matrix when N goes to infinity. © 2008.