کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4603758 | 1336972 | 2006 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
An explicit expression for the Fisher information matrix of a multiple time series process
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
اعداد جبر و تئوری
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The principal result in this paper is concerned with the derivative of a vector with respect to a block vector or matrix. This is applied to the asymptotic Fisher information matrix (FIM) of a stationary vector autoregressive and moving average time series process (VARMA). Representations which can be used for computing the components of the FIM are then obtained. In a related paper [A. Klein, A generalization of Whittle’s formula for the information matrix of vector mixed time series, Linear Algebra Appl. 321 (2000) 197–208], the derivative is taken with respect to a vector. This is obtained by vectorizing the appropriate matrix products whereas in this paper the corresponding matrix products are left unchanged.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Linear Algebra and its Applications - Volume 417, Issue 1, 1 August 2006, Pages 140-149
Journal: Linear Algebra and its Applications - Volume 417, Issue 1, 1 August 2006, Pages 140-149