Title :
Uniqueness of the maximum likelihood estimates of ARMA model parameters--An elementary proof
Author :
Stoica, Petre ; SÖderstrÖm, Torsten
Author_Institution :
Institutul Politechnic Bucuresti, Bucharest, Romania
fDate :
6/1/1982 12:00:00 AM
Abstract :
Under mild conditions, the likelihood function associated with an ARMA model asymptotically has a unique stationary point which is a global maximum corresponding to the true parameter values. This note gives a new proof of this fact. The proof is considerably simpler than that previously published.
Keywords :
Autoregressive moving-average processes; maximum-likelihood (ML) estimation; Costs; Decision making; Error correction; Maximum likelihood estimation; Polynomials; Random variables; State estimation; Stochastic processes; Uncertainty; Upper bound;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1982.1102971
