Abstract
The present article is mainly concerned with the calculation of the Fisher information matrix associated to a periodic autoregressive moving average model (P-ARMA). We provide a computation algorithm based on the conditional likelihood function expression. The established algorithm extends Klein and Mélard's algorithm (
1989
) elaborated for the classical ARMA models, to the case of periodic autoregressive moving average models. Moreover, for the application of this algorithm, we provide a procedure to compute the theoretical periodic autocovariance function in terms of the parameters of the periodic model. In addition, we give a necessary and sufficient condition for non singular Fisher information matrix of a periodic ARMA model.