Necessary and Sufficient Condition for Nonsingular Fisher Information Matrix in ARMA Models
classification
📊 stat.AP
math.STstat.TH
keywords
armaconditionfisherinformationmatrixmodelnecessarynonsingular
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It is demonstrated that a necessary and sufficient condition that the Fisher information matrix of an ARMA model be nonsingular is that the model not be redundant, that is, the autoregressive and moving-average polynomials do not share common roots.
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