On the Fisher Information Matrix of a Vector Arma Process

We derive a neat and compact representation of the asymptotic Fisher information matrix of a vector ARMA process. Its inverse can be used immediately as the asymptotic covariance matrix of the Gaussian maximum likelihood estimator. We also provide the robust sandwich covariance estimator when the process is non-Gaussian

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Year of publication:	2016
Authors:	Bao, Yong
Other Persons:	Hua, Ying (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, 2014, vol. 123 (1), 14-16 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 25, 2014 erstellt Volltext nicht verfügbar
Classification:	C32 - Time-Series Models ; C12 - Hypothesis Testing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012998047