Journal of Time Series Analysis

An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models

Journal Article

Abstract.  The paper presents an algorithm for computing the asymptotic Fisher information matrix of a possibly seasonal single‐input single‐output (SISO) time‐series model. That matrix is a block matrix whose elements are basically integrals of rational functions over the oriented unit circle. The procedure makes use of the autocovariance or the cross‐covariance function of two autoregressive processes based on the same noise. The algorithm also works when the input variable is omitted, the case of a seasonal ARMA model.

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