Some results on Vandermonde matrices with an application to time series analysis

被引:5
作者
Klein, A
Spreij, P
机构
[1] Univ Amsterdam, Dept Actuarial Sci & Econometr, NL-1018 WB Amsterdam, Netherlands
[2] Univ Amsterdam, Korteweg de Vries Inst Math, NL-1018 TV Amsterdam, Netherlands
关键词
ARMA process; Fisher information matrix; Stein's equation; Vandermonde matrix; confluent Vandermonde matrix;
D O I
10.1137/S0895479802402892
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
In this paper we study Stein equations in which the coefficient matrices are in companion form. Solutions to such equations are relatively easy to compute as soon as one knows how to invert a Vandermonde matrix (in the generic case where all eigenvalues have multiplicity one) or a confluent Vandermonde matrix (in the general case). As an application we present a way to compute the Fisher information matrix of an autoregressive moving average (ARMA) process. The computation is based on the fact that this matrix can be decomposed into blocks where each block satisfies a certain Stein equation.
引用
收藏
页码:213 / 223
页数:11
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