On computing the expected Fisher information matrix for state-space model parameters

Joseph E Cavanaugh; Robert H Shumway

doi:10.1016/0167-7152(95)00031-3

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On computing the expected Fisher information matrix for state-space model parameters

Journal article

Peer reviewed

On computing the expected Fisher information matrix for state-space model parameters

Joseph E Cavanaugh and Robert H Shumway

Statistics & probability letters, Vol.26(4), pp.347-355

1996

DOI: 10.1016/0167-7152(95)00031-3

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Abstract

A general, recursive algorithm is presented for computing the expected Fisher information matrix for state-space model parameters. Simulation results are featured where known Fisher information matrices corresponding to simple state-space models are estimated using both observed and expected information matrices. The accuracy of the two approaches is compared.

EM algorithm

Kalman filter

Recursive algorithm

Time series

Details

Title: Subtitle: On computing the expected Fisher information matrix for state-space model parameters
Creators: Joseph E Cavanaugh - Department of Statistics, 222 Math Sciences Bldg., University of Missouri, Columbia, MO 65211, USA
Robert H Shumway - Division of Statistics, University of California, Davis, USA
Resource Type: Journal article
Publication Details: Statistics & probability letters, Vol.26(4), pp.347-355
DOI: 10.1016/0167-7152(95)00031-3
ISSN: 0167-7152
eISSN: 1879-2103
Publisher: Elsevier B.V
Language: English
Date published: 1996
Academic Unit: Statistics and Actuarial Science; Biostatistics; Injury Prevention Research Center
Record Identifier: 9984214713202771

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