On the application of Vandermonde matrices to time series analysis
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| Publication date |
2000
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| Publisher |
s.n.
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| Organisations |
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Faculty of Science (FNWI) - Korteweg-de Vries Institute for Mathematics (KdVI)
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| Abstract |
In this paper we present a way to compute the Fisher information matrix of an ARMAprocess. The computation is based on the fact that this matrix satisfies a Stein equation. Solutions of the Stein equation are relatively easy to compute as soon as one knows how to invert a Vandermonde matrix (in the generic case where all zeros and poles of the transfer function have multiplicity one) or a confluent Vandermonde matrix (in the general case).
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| Document type |
Working paper
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