On Fisher’s Information Matrix of an ARMA Process
André Klein, Peter Spreij · Birkhäuser Boston eBooks · 1997
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. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.