A note on the information matrix for multiplicative seasonal autoregressive moving-average models

Edward Godolphin; JD Godolphin

doi:10.1111/j.1467-0902.2007.00531.x

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A note on the information matrix for multiplicative seasonal autoregressive moving-average models

Journal article

Peer reviewed

A note on the information matrix for multiplicative seasonal autoregressive moving-average models

Edward Godolphin and JD Godolphin

JOURNAL OF TIME SERIES ANALYSIS, Vol.28(5), pp.783-791

01/09/2007

DOI: https://doi.org/10.1111/j.1467-0902.2007.00531.x

Abstract

Science & Technology

Physical Sciences

Mathematics

Interdisciplinary Applications

Statistics & Probability

Mathematics

MATHEMATICS

INTERDISCIPLINARY APPLICATIONS

STATISTICS & PROBABILITY

asymptotic covariance matrix

autoregressive moving average model

Cramer-Rao bound

Fisher information matrix

maximum likelihood estimation

multiplicative seasonal time series

COVARIANCE-MATRIX

COMPUTATION

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Title: A note on the information matrix for multiplicative seasonal autoregressive moving-average models
Creators: Edward Godolphin
JD Godolphin
Publication Details: JOURNAL OF TIME SERIES ANALYSIS, Vol.28(5), pp.783-791
Publisher: BLACKWELL PUBLISHING
Publication Date: 01/09/2007
Identifiers: 99516064902346
Academic Unit: Department of Mathematics
Language: English
Resource Type: Journal article

A note on the information matrix for multiplicative seasonal autoregressive moving-average models

Abstract

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