Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules

Linear Algebra and Its Applications

Volumn 321, Issue 1-3, 2000, Pages 209-232

  Klein, André ^a   Mélard, Guy ^b   Zahaf, Toufik ^b  

^a Univ A   (Netherlands)

^b UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

Author keywords

Fisher information matrix; Matrix differentiation; Vector autoregressive moving average model

Indexed keywords

EID: 0346613858     PISSN: 00243795     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0024-3795(99)00045-2     Document Type: Article

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