A note on maximum likelihood estimation for the complex-valued first-order autoregressive process

The maximum likelihood estimation of the parameters of a complex-valued zero-mean normal stationary first-order autoregressive process is investigated. It is shown that the likelihood function corresponding to independent replicated series is uniquely maximized at a point in the interior of the parameter space. A closed-form expression is given for the estimator.

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Year of publication:	1988
Authors:	Le Breton, A.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 7.1988, 2, p. 171-173
Publisher:	Elsevier
Keywords:	autoregressive process complex-valued maximum likelihood estimation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005224003