A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process |
| |
| Authors: | Cavicchioli Maddalena |
| |
| Institution: | 1.Department of Economics “Marco Biagi”, University of Modena and Reggio Emilia, Viale Berengario 51, 41121, Modena, Italy
; |
| |
| Abstract: | Statistical Methods & Applications - We study the asymptotic and exact Fisher information (FI) matrices of Markov switching vector autoregressive moving average (MS VARMA) models. In a related... |
| |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ |
|
