Title :
Method of maximum likelihood for stationary time series models
Author :
Murthy, D.N.Prabhakar
Author_Institution :
Queensland University, St. Lucia, Brisbane, Australia
fDate :
8/1/1973 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1973.1100334
