An exact forward-backward maximum likelihood autoregressive parameter estimation method

DOI10.1109/78.134431zbMath0736.62074OpenAlexW2151951692MaRDI QIDQ3986206

Salvatore D. Morgera, Bernard Armour

Publication date: 27 June 1992

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/78.134431

zbMATH Keywords

loglikelihood functionGaussian AR processautoregressive parameter estimation methodexact forward-backward maximum likelihooditerative maximization

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Probabilistic methods, stochastic differential equations (65C99)

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