On the Fisher information matrix of a vector ARMA process

C-Tier
Journal: Economics Letters
Year: 2014
Volume: 123
Issue: 1
Pages: 14-16

Authors (2)

Bao, Yong (Purdue University) Hua, Ying (not in RePEc)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We derive a neat and compact representation of the asymptotic Fisher information matrix of a vector ARMA process. Its inverse can be used immediately as the asymptotic covariance matrix of the Gaussian maximum likelihood estimator. We also provide the robust sandwich covariance estimator when the process is non-Gaussian.

Technical Details

RePEc Handle
repec:eee:ecolet:v:123:y:2014:i:1:p:14-16
Journal Field
General
Author Count
2
Added to Database
2026-01-24