An Algorithm for the Fisher Information Matrix of a VARMAX Process

Autor:	André Klein, Guy Mélard
Jazyk:	angličtina
Rok vydání:	2023
Předmět:	matrix polynomial operator eigenvalues Fisher information matrix stationary VARMAX process Mathematica Industrial engineering. Management engineering T55.4-60.8 Electronic computers. Computer science QA75.5-76.95
Zdroj:	Algorithms, Vol 16, Iss 8, p 364 (2023)
Druh dokumentu:	article
ISSN:	1999-4893
DOI:	10.3390/a16080364
Popis:	In this paper, an algorithm for Mathematica is proposed for the computation of the asymptotic Fisher information matrix for a multivariate time series, more precisely for a controlled vector autoregressive moving average stationary process, or VARMAX process. Meanwhile, we present briefly several algorithms published in the literature and discuss the sufficient condition of invertibility of that matrix based on the eigenvalues of the process operators. The results are illustrated by numerical computations.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/4cbbca02f8094db4a64fb5a71629a8f8 Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
Nepřihlášeným uživatelům se plný text nezobrazuje	K zobrazení výsledku je třeba se přihlásit.