scholarly journals Computation of the Fisher information matrix for time series models

1995 ◽  
Vol 64 (1-2) ◽  
pp. 57-68 ◽  
Author(s):  
André Klein ◽  
Guy Mélard
Keyword(s):  
Time Series ◽  
Fisher Information ◽  
Fisher Information Matrix ◽  
Information Matrix ◽  
Time Series Models

scholarly journals Computation of the Exact Fisher Information Matrix of a Multiple Input Single Output Time Series Models

2021 ◽  
Vol 2 (2) ◽  
pp. 1-11
Author(s):  
Emilie EPEKA MBAMBE ◽  
Angèle YULE SOTAZO ◽  
Jacques SABITI KISETA
Keyword(s):  
Time Series ◽  
Fisher Information ◽  
Fisher Information Matrix ◽  
Likelihood Function ◽  
Moving Average ◽  
Information Matrix ◽  
Time Series Models ◽  
Single Input Single Output ◽  
Single Output ◽  
Computational Procedures

Klein, Mélard, and Zahaf (1998) have proposed the computation of the exact Fisher information matrix of a large class of Gaussian time series models called the single-input-single-output (SISO) model, includes dynamic regression with autocorrelated errors and the transfer function model, with autoregressive moving average errors. For computing the Fisher information matrix of a SISO model, they introduced an algorithm based on a combination of two computational procedures: recursions for the covariance matrix of the derivatives of the state vector with respect to the parameters and the fast Kalman filter recursions used in the evaluation of the likelihood function. In this paper, we propose a generalization of this method for computing the Fisher information matrix of a MISO model.

scholarly journals Fisher information matrix of binary time series

METRON ◽  
2018 ◽  
Vol 76 (3) ◽  
pp. 287-304 ◽  
Author(s):  
Xu Gao ◽  
Daniel Gillen ◽  
Hernando Ombao
Keyword(s):  
Time Series ◽  
Fisher Information ◽  
Fisher Information Matrix ◽  
Information Matrix ◽  
Binary Time Series
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