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On the resultant property of the Fisher information matrix of a vector ARMA process

par Klein, André;Melard, Guy ;Spreij, Peter
Référence Linear algebra and its applications, 403, 1-3, page (291-313)
Publication Publié, 2005-07

Article révisé par les pairs

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Résumé :

A matrix is called a multiple resultant matrix associated to two matrix polynomials when it becomes singular if and only if the two matrix polynomials have at least one common eigenvalue. In this paper a new multiple resultant matrix is introduced. It concerns the Fisher information matrix (FIM) of a stationary vector autoregressive and moving average time series process (VARMA). The two matrix polynomials are the autoregressive and the moving average matrix polynomials of the VARMA process. In order to show that the FIM is a multiple resultant matrix two new representations of the FIM are derived. To construct such representations appropriate matrix differential rules are applied. The newly obtained representations are expressed in terms of the multiple Sylvester matrix and the tensor Sylvester matrix. The representation of the FIM expressed by the tensor Sylvester matrix is used to prove that the FIM becomes singular if and only if the autoregressive and moving average matrix polynomials have at least one common eigenvalue. It then follows that the FIM and the tensor Sylvester matrix have equivalent singularity conditions. In a simple numerical example it is shown however that the FIM fails to detect common eigenvalues due to some kind of numerical instability. Whereas the tensor Sylvester matrix reveals it clearly, proving the usefulness of the results derived in this paper. © 2005 Elsevier Inc. All rights reserved.