An elementary derivation of the maximum likelihood estimator of the covariance matrix, and an illustrative determinant inequality

DOI10.1016/0005-1098(91)90095-JzbMath0729.62516MaRDI QIDQ806893

Seppo Karrila, Tapio Westerlund

Publication date: 1991

Published in: Automatica (Search for Journal in Brave)

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

Cites Work

• Dynamic system identification. Experiment design and data analysis
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