• DocumentCode
    838995
  • Title

    Uniqueness of the maximum likelihood estimates of ARMA model parameters--An elementary proof

  • Author

    Stoica, Petre ; SÖderstrÖm, Torsten

  • Author_Institution
    Institutul Politechnic Bucuresti, Bucharest, Romania
  • Volume
    27
  • Issue
    3
  • fYear
    1982
  • fDate
    6/1/1982 12:00:00 AM
  • Firstpage
    736
  • Lastpage
    738
  • Abstract
    Under mild conditions, the likelihood function associated with an ARMA model asymptotically has a unique stationary point which is a global maximum corresponding to the true parameter values. This note gives a new proof of this fact. The proof is considerably simpler than that previously published.
  • Keywords
    Autoregressive moving-average processes; maximum-likelihood (ML) estimation; Costs; Decision making; Error correction; Maximum likelihood estimation; Polynomials; Random variables; State estimation; Stochastic processes; Uncertainty; Upper bound;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1982.1102971
  • Filename
    1102971
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=838995