On computing the expected Fisher information matrix for state-space model parameters

A general, recursive algorithm is presented for computing the expected Fisher information matrix for state-space model parameters. Simulation results are featured where known Fisher information matrices corresponding to simple state-space models are estimated using both observed and expected information matrices. The accuracy of the two approaches is compared.

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Year of publication:	1996
Authors:	Cavanaugh, Joseph E. ; Shumway, Robert H.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 26.1996, 4, p. 347-355
Publisher:	Elsevier
Keywords:	EM algorithm Kalman filter Recursive algorithm Time series

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223888