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

DOI10.1016/0167-7152(88)90045-4MaRDI QIDQ1113596zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

closed-form expressioncomplex-valued zero-mean normal stationary first-order autoregressive processlikelihood functionmaximum likelihood estimation

Mathematics Subject Classification ID

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

Review text

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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Cites work

• A note on maximum likelihood estimation for the first-order autoregressive process
• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)

Cited in

(2)

• Asymptotically minimum variance second-order estimation for complex circular processes
• Complex-valued time series models and their relations to directional statistics

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