A note on maximum likelihood estimation for the complex-valued first- order autoregressive process (Q1113596)
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scientific article; zbMATH DE number 4082790
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| English | A note on maximum likelihood estimation for the complex-valued first- order autoregressive process |
scientific article; zbMATH DE number 4082790 |
Statements
A note on maximum likelihood estimation for the complex-valued first- order autoregressive process (English)
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1988
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The maximum likelihood estimation of the parameters of a complex-valued zero-mean normal stationary first-order autoregressive process is investigated. It is shown that the likelihood function corresponding to independent replicated series is uniquely maximized at a point in the interior of the parameter space. A closed-form expression is given for the estimator.
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maximum likelihood estimation
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complex-valued zero-mean normal stationary first-order autoregressive process
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likelihood function
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closed-form expression
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0.8022013902664185
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0.8022013902664185
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0.7877721190452576
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0.7846207618713379
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0.7747898697853088
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