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On the Fisher information matrix of a vector ARMA process |
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| Authors: | Yong Bao Ying Hua |
| Institution: | 1. Department of Economics, Krannert School of Management, Purdue University, 403 W State St, West Lafayette, IN 47907, USA;2. School of Information Technology & Management, University of International Business and Economics, 10 E Huixin St, Beijing, 100029, China |
| Abstract: | 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. |
| Keywords: | C32 C12 |
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