An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models |
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Authors: | André Klein, Guy Mé lard |
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Affiliation: | University of Amsterdam;, UniversitéLibre de Bruxelles |
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Abstract: | 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. |
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Keywords: | Fisher information matrix SISO model |
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