On the Fisher information matrix of a vector ARMA process

被引：7

作者：

Bao, Yong ^{[1
]}

Hua, Ying ^{[2
]}

机构：

[1] Purdue Univ, Krannert Sch Management, Dept Econ, W Lafayette, IN 47907 USA

[2] Univ Int Business & Econ, Sch Informat Technol & Management, Beijing 100029, Peoples R China

来源：

ECONOMICS LETTERS | 2014年 / 123卷 / 01期

关键词：

Fisher information matrix; VARMA; Gaussian maximum likelihood estimator; TIME-SERIES; FORMULA;

D O I：

10.1016/j.econlet.2014.01.019

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：14 / 16

页数：3

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