On the Fisher Information Matrix of a Vector Arma Process

Name: Work Video:
Duration: 3 min 30 s
Description: 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.
Yong Bao; Ying Hua
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