• DocumentCode
    812329
  • Title

    Method of maximum likelihood for stationary time series models

  • Author

    Murthy, D.N.Prabhakar

  • Author_Institution
    Queensland University, St. Lucia, Brisbane, Australia
  • Volume
    18
  • Issue
    4
  • fYear
    1973
  • fDate
    8/1/1973 12:00:00 AM
  • Firstpage
    397
  • Lastpage
    398
  • 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.
  • Keywords
    Estimation; Linear systems, stochastic discrete-time; Pulse transfer functions; Time series; maximum-likelihood (ML) estimation; Acceleration; Accelerometers; Atmospheric modeling; Control systems; Degradation; Maximum likelihood estimation; Noise measurement; Smoothing methods; State estimation; Steady-state;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1973.1100334
  • Filename
    1100334
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=812329