On the exact maximum likelihood estimation of Gaussian autoregressive processes

DOI10.1109/29.1604MaRDI QIDQ3818218zbMATH OpenOpenAlexFDO

Authors Bruno Cernuschi-Frias, John D. Rogers

Publication date 1988

Published in IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/29.1604

zbMATH Keywords

autoregressive processexact likelihood functionexact ML estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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