Title :
Maximum likelihood estimation of parameters in multivariate Gaussian stochastic processes (Corresp.)
Author :
Caines, P.E. ; Rissanen, J.
fDate :
1/1/1974 12:00:00 AM
Abstract :
We outline a proof of the strong consistency of the maximum likelihood estimate of the parameters of Gaussian random processes possessing linear autoregressive moving average or state space representations.
Keywords :
Autoregressive moving-average processes; Gaussian processes; Parameter estimation; maximum-likelihood (ML) estimation; Acoustic arrays; Acoustic noise; Acoustic signal processing; Array signal processing; Gaussian noise; Laboratories; Maximum likelihood estimation; Parameter estimation; Signal processing; Stochastic processes;
Journal_Title :
Information Theory, IEEE Transactions on
DOI :
10.1109/TIT.1974.1055155
