Title :
An alternate derivation of the maximum likelihood estimator of a covariance matrix
Author_Institution :
General Electric Company, Syracuse, N.Y.
Abstract :
An alternate derivation of the maximum likelihood estimator of a covariance matrix is given. The derivation is based upon the eigenvalue properties of the product of the inverse of the covariance matrix and the sample covariance matrix.
Keywords :
Autocorrelation; Cities and towns; Covariance matrix; Entropy; Equations; Fourier transforms; Instruments; Maximum likelihood estimation; Spectral analysis; Underwater acoustics;
Journal_Title :
Proceedings of the IEEE
DOI :
10.1109/PROC.1975.10020
