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Nonlinear maximum likelihood estimation of autoregressive time series

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dc.contributor.authorMcWhorter, L. Todd, author
dc.contributor.authorScharf, Louis L., author
dc.contributor.authorIEEE, publisher
dc.date.accessioned2007-01-03T04:18:51Z
dc.date.available2007-01-03T04:18:51Z
dc.date.issued1995
dc.description.abstractIn this paper, we describe an algorithm for finding the exact, nonlinear, maximum likelihood (ML) estimators for the parameters of an autoregressive time series. We demonstrate that the ML normal equations can be written as an interdependent set of cubic and quadratic equations in the AR polynomial coefficients. We present an algorithm that algebraically solves this set of nonlinear equations for low-order problems. For high-order problems, we describe iterative algorithms for obtaining a ML solution.
dc.description.sponsorshipThis work was supported by Bonneville Power Administration under Contract #DEBI7990BPO7346 and by the Office of Naval Research, Statistics and Probability Branch, under Contract N00014-89-J-1070.
dc.format.mediumborn digital
dc.format.mediumarticles
dc.identifier.bibliographicCitationMcWhorter, L. Todd and Louis L. Scharf, Nonlinear Maximum Likelihood Estimation of Autoregressive Time Series, IEEE Transactions on Signal Processing 43, no. 12 (December 1995): 2909-2919.
dc.identifier.urihttp://hdl.handle.net/10217/743
dc.languageEnglish
dc.language.isoeng
dc.publisherColorado State University. Libraries
dc.relation.ispartofFaculty Publications
dc.rights©1995 IEEE.
dc.rightsCopyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright.
dc.subjectnonlinear equations
dc.subjectpolynomials
dc.subjecttime series
dc.subjectautoregressive processes
dc.subjectiterative methods
dc.subjectsignal processing
dc.subjectmaximum likelihood estimation
dc.subject.lcshGaussian processes
dc.titleNonlinear maximum likelihood estimation of autoregressive time series
dc.typeText

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