Abstract
In this paper we study the Fisher information matrix for a stationary ARMA process with the aid of Sylvester’s resultant matrix. Some properties are explained via realizations in state space form of the derivates of the white noise process with respect to the parameters.
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Klein, A., Spreij, P. (1997). On Fisher’s Information Matrix of an ARMA Process. In: Stochastic Differential and Difference Equations. Progress in Systems and Control Theory, vol 23. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4612-1980-4_21
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DOI: https://doi.org/10.1007/978-1-4612-1980-4_21
Publisher Name: Birkhäuser, Boston, MA
Print ISBN: 978-1-4612-7365-3
Online ISBN: 978-1-4612-1980-4
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