On computing the expected Fisher information matrix for state-space model parameters

被引：19

作者：

Cavanaugh, JE

Shumway, RH

机构：

[1] UNIV MISSOURI,DEPT STAT,COLUMBIA,MO 65211

[2] UNIV CALIF DAVIS,DIV STAT,DAVIS,CA 95616

来源：

STATISTICS & PROBABILITY LETTERS | 1996年 / 26卷 / 04期

关键词：

EM algorithm; Kalman filter; recursive algorithm; time series;

D O I：

10.1016/0167-7152(95)00031-3

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A general, recursive algorithm is presented for computing the expected Fisher information matrix for state-space model parameters. Simulation results are featured where known Fisher information matrices corresponding to simple state-space models are estimated using both observed and expected information matrices. The accuracy of the two approaches is compared.

引用

页码：347 / 355

页数：9

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