Maximum likelihood estimation of parameters in multivariate Gaussian stochastic processes (Corresp.)
- 1 January 1974
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Information Theory
- Vol. 20 (1), 102-104
- https://doi.org/10.1109/tit.1974.1055155
Abstract
We outline a proof of the strong consistency of the maximum likelihood estimate of the parameters of Gaussian random processes possessing linear autoregressive moving average or state space representations.Keywords
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