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On Fisher’s Information Matrix of an ARMA Process

open access: yes, 1997
In this paper we study the Fisher information matrix for a stationary ARMA process with the aid of Sylvester’s resultant matrix. Some properties are explained via realizations in state space form of the derivates of the white noise process with respect to the parameters.
Klein, A., Spreij, P.
openaire   +4 more sources

ARMA Processes

2022
AbstractChapter 5 enters into stochastic time series analysis with the description of moving average, autoregressive and autoregressive moving average processes. Seasonal time series analysis is introduced with examples applied to measures temperature and the hydrological cycle.
Marco Bittelli   +2 more
openaire   +1 more source

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