The asymptotic and exact Fisher information matrices of a vector ARMA process

The exact Fisher information matrix of a Gaussian vector autoregressive-moving averageÂ (VARMA) process has been considered for a time series of length N in relation to the exact maximum likelihood estimation method. In this paper it is shown that the Gaussian exact Fisher information matrix converges to the asymptotic Fisher information matrix when N goes to infinity.

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Year of publication:	2008
Authors:	Klein, André ; Mélard, Guy ; Saidi, Abdessamad
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 12, p. 1430-1433
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10005138384