Autore: Cavicchioli, Maddalena
Titolo: A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process
Periodico: Statistical methods & applications : Journal of the Italian Statistical Society
Anno: 2020 - Volume: 29 - Fascicolo: 1 - Pagina iniziale: 129 - Pagina finale: 139

We study the asymptotic and exact Fisher information (FI) matrices of Markov switching vector autoregressive moving average (MS VARMA) models. In a related paper (2017), we propose a method to derive an explicit expression in closed form for the asymptotic FI matrix of the underlying model, and use such a matrix to derive the asymptotic covariance matrix of the Gaussian maximum likelihood (ML) estimator of the parameters in the MS VARMA model. In this paper, the exact FI matrix of a Gaussian MS VARMA process is considered for a time series of length T in relation to the exact ML estimation method. Furthermore, we prove that the Gaussian exact FI matrix converges in probability to the asymptotic FI matrix when the sample size T goes to infinity.




SICI: 1618-2510(2020)29:1<129:ANOTAA>2.0.ZU;2-

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