Method of Maximum Likelihood for Stationary Time Series Models

Prabhahar Murthy D.N. (1973) Method of Maximum Likelihood for Stationary Time Series Models. IEEE Transactions on Automatic Control, 18 4: 397-398. doi:10.1109/TAC.1973.1100334


Author Prabhahar Murthy D.N.
Title Method of Maximum Likelihood for Stationary Time Series Models
Journal name IEEE Transactions on Automatic Control
ISSN 1558-2523
Publication date 1973
Sub-type Article (original research)
DOI 10.1109/TAC.1973.1100334
Volume 18
Issue 4
Start page 397
End page 398
Total pages 2
Subject 1706 Computer Science Applications
2207 Control and Systems Engineering
2208 Electrical and Electronic Engineering
Abstract Whittle [1] proposed a method of obtaining the likelihood function for a linear dynamic model (with rational pulse transfer function and excited by Gaussian signal). In this note a simple derivation of his result is given.
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Unknown

Document type: Journal Article
Sub-type: Article (original research)
Collection: Scopus Import
 
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Created: Tue, 26 Jul 2016, 04:52:58 EST by System User