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:	2014
Authors:	Bao, Yong ; Hua, Ying
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 123.2014, 1, p. 14-16
Publisher:	Elsevier
Subject:	Fisher information matrix \| VARMA \| Gaussian maximum likelihood estimator

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Type of publication:	Article
Classification:	C32 - Time-Series Models ; C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010743691