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