Abstract
The exact Fisher information matrix of a Gaussian vector autoregressive-moving average (VARMA) process has been considered for a time series of length N in relation to the exact maximum likelihood estimation method. In this paper it is shown that the Gaussian exact Fisher information matrix converges to the asymptotic Fisher information matrix when N goes to infinity.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have