A note on maximum likelihood estimation for the complex-valued first- order autoregressive process

DOI10.1016/0167-7152(88)90045-4zbMATH Open0662.62095OpenAlexW2158436791MaRDI QIDQ1113596FDOQ1113596

Authors: Alain Le Breton 

Publication date: 1988

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(88)90045-4

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zbMATH Keywords

maximum likelihood estimationlikelihood functionclosed-form expressioncomplex-valued zero-mean normal stationary first-order autoregressive process

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Cites Work

• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• Title not available (Why is that?)
• A note on maximum likelihood estimation for the first-order autoregressive process

Cited In (1)

• Asymptotically minimum variance second-order estimation for complex circular processes

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