A note on maximum likelihood estimation for the complex-valued first-order autoregressive process

A. Le Breton

Statistics & Probability Letters, 1988, vol. 7, issue 2, 171-173

Abstract: The maximum likelihood estimation of the parameters of a complex-valued zero-mean normal stationary first-order autoregressive process is investigated. It is shown that the likelihood function corresponding to independent replicated series is uniquely maximized at a point in the interior of the parameter space. A closed-form expression is given for the estimator.

Keywords: autoregressive; process; complex-valued; maximum; likelihood; estimation (search for similar items in EconPapers)
Date: 1988
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0167-7152(88)90045-4
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:7:y:1988:i:2:p:171-173

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().