FISHER'S INFORMATION MATRIX FOR SEASONAL AUTOREGRESSIVE-MOVING AVERAGE MODELS

1990 ◽  
Vol 11 (3) ◽  
pp. 231-237 ◽  
Author(s):  
André Klein ◽  
Guy Mélard
Keyword(s):  
Moving Average ◽  
Information Matrix ◽  
Autoregressive Moving Average ◽  
Moving Average Models ◽  
Autoregressive Moving Average Models ◽  
Fisher's Information

Consistency of model selection and parameter estimation

1986 ◽  
Vol 23 (A) ◽  
pp. 127-141 ◽  
Author(s):  
Ritei Shibata
Keyword(s):  
Parameter Estimation ◽  
Model Selection ◽  
Lower Order ◽  
Moving Average ◽  
Information Matrix ◽  
Autoregressive Moving Average ◽  
Moving Average Models ◽  
The Cost ◽  
The Relationship ◽  
Autoregressive Moving Average Models

The relationship between consistency of model selection and that of parameter estimation is investigated. It is shown that the consistency of model selection is achieved at the cost of a lower order of consistency of the resulting estimate of parameters in some domain. The situation is different when selecting autoregressive moving average models, since the information matrix becomes singular when overfitted. Some detailed analyses of the consistency are given in this case.

Consistency of model selection and parameter estimation

1986 ◽  
Vol 23 (A) ◽  
pp. 127-141 ◽  
Author(s):  
Ritei Shibata
Keyword(s):  
Parameter Estimation ◽  
Model Selection ◽  
Lower Order ◽  
Moving Average ◽  
Information Matrix ◽  
Autoregressive Moving Average ◽  
Moving Average Models ◽  
The Cost ◽  
The Relationship ◽  
Autoregressive Moving Average Models

The relationship between consistency of model selection and that of parameter estimation is investigated. It is shown that the consistency of model selection is achieved at the cost of a lower order of consistency of the resulting estimate of parameters in some domain. The situation is different when selecting autoregressive moving average models, since the information matrix becomes singular when overfitted. Some detailed analyses of the consistency are given in this case.

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