Recursive Maximum Likelihood Estimation of Autoregressive Processes

IEEE Transactions on Acoustics, Speech, and Signal Processing

Volumn 31, Issue 1, 1983, Pages 56-65

  Kay, Steven M ^a  

^a UNIVERSITY OF RHODE ISLAND   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

MAXIMUM LIKELIHOOD ESTIMATION;

SIGNAL FILTERING AND PREDICTION;

EID: 0020705202     PISSN: 00963518     EISSN: None     Source Type: Journal    
DOI: 10.1109/TASSP.1983.1164050     Document Type: Article

References (14)

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4. N. Juddell, “Maximum likelihood estimation of autoregressive and autoregressive-moving average processes,” M.S. thesis, Univ. Rhode Island, Kingston, in preparation.
5. J. P. Burg, “Maximum entropy spectral analysis,” Ph.D. dissertation, Stanford Univ., Stanford, CA, 1975.
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7. E. Wilson, Advanced Calculus. New York: Dover, 1958.
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11. A. H. Nuttall, “Spectral analysis of a univariate process with bad data points, via maximum entropy and linear predictive techniques,” in NUSC Sci. and Eng. Studies, Spectral Estimation, NUSC, New London, CT.
12. T. J. Ulrych and R. W. Clayton “Time series modeling and maximum entropy,” Phys. Earth and Planetary Interiors, vol. 12, pp. 188–200, Aug. 1976.
13. D. N. Swingler, “A comparison between Burg's maximum entropy method and a nonrecursive technique for the spectral analysis of deterministic signals,” J. Geophys. Res., vol 84, pp. 674–685, Feb. 1974.
14. J. Makhoul, “Linear prediction: A tutorial review,” Proc. IEEE, pp. 561–580, Apr. 1975.