DocumentCode
816451
Title
Uniqueness of the maximum likelihood estimates of the parameters of an ARMA model
Author
Åström, Karl J. ; Söderström, Torsten
Author_Institution
Lund Institute of Technology, Lund, Sweeden
Volume
19
Issue
6
fYear
1974
fDate
12/1/1974 12:00:00 AM
Firstpage
769
Lastpage
773
Abstract
Estimation of the parameters in a mixed autoregressive moving average process leads to a nonlinear optimization problem. The negative logarithm of the likelihood function, suitably normalized, converges to a deterministic function as the sample length increases. The local and global extrema of this function are investigated. Conditions for the existence of a unique global and local minimum are given.
Keywords
Autoregressive moving-average processes; Parameter estimation; maximum-likelihood (ML) estimation; Autoregressive processes; Brain modeling; Electroencephalography; Maximum likelihood estimation; Parameter estimation; Polynomials; Random variables;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1974.1100735
Filename
1100735
Link To Document