On the exact maximum likelihood estimation of Gaussian autoregressive processes

DOI10.1109/29.1604zbMath0665.93057OpenAlexW2109048501MaRDI QIDQ3818218

John D. Rogers, Bruno Cernuschi-Frías

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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