Question: 6.8 Information matrix for composite MLE from circular CAR(1) process. Consider again the circulant CAR(1) model of the previous exercise. The purpose of this exercise

6.8 Information matrix for composite MLE from circular CAR(1) process.

Consider again the circulant CAR(1) model of the previous exercise. The purpose of this exercise is to investigate the accuracy of the composite estimator of Section 6.7.

The composite log-likelihood function is given by (6.64), i.e.

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