On Fisher's information matrix of an ARMAX process

P.J.C. Spreij

doi:10.1016/0024-3795(95)00552-8

On Fisher's information matrix of an ARMAX process

P.J.C. Spreij

Research output: Contribution to Journal › Article › Academic

Abstract

We establish a relation between Fisher's information matrix of a stationary autoregressive moving average process, with an exogenous component, and two Sylvester's resultant matrices.

Original language	English
Pages (from-to)	579-590
Number of pages	11
Journal	Linear Algebra and its Applications
Volume	237-238
DOIs	https://doi.org/10.1016/0024-3795(95)00552-8
Publication status	Published - 1996

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title = "On Fisher's information matrix of an ARMAX process",

abstract = "We establish a relation between Fisher's information matrix of a stationary autoregressive moving average process, with an exogenous component, and two Sylvester's resultant matrices.",

author = "P.J.C. Spreij",

year = "1996",

doi = "10.1016/0024-3795(95)00552-8",

language = "English",

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journal = "Linear Algebra and its Applications",

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AU - Spreij, P.J.C.

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N2 - We establish a relation between Fisher's information matrix of a stationary autoregressive moving average process, with an exogenous component, and two Sylvester's resultant matrices.

AB - We establish a relation between Fisher's information matrix of a stationary autoregressive moving average process, with an exogenous component, and two Sylvester's resultant matrices.

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DO - 10.1016/0024-3795(95)00552-8

M3 - Article

VL - 237-238

SP - 579

EP - 590

JO - Linear Algebra and its Applications

JF - Linear Algebra and its Applications

SN - 0024-3795

ER -

On Fisher's information matrix of an ARMAX process

Abstract

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