A note on maximum likelihood estimation for the complex-valued first- order autoregressive process (Q1113596)
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| Language | Label | Description | Also known as |
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| English | A note on maximum likelihood estimation for the complex-valued first- order autoregressive process |
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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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