Maximum likelihood estimation of parameters in multivariate Gaussian stochastic processes (Corresp.)

Authors:
P. Caines;J. Rissanen
Affiliations:
-;-
Venue:
IEEE Transactions on Information Theory
Year:
2006

Citing 0
Cited 4

Exact maximum likelihood estimation of structured or unit root multivariate time series models

Computational Statistics & Data Analysis
Special section system identification tutorial: Maximum likelihood and prediction error methods

Automatica (Journal of IFAC)
Brief paper: Model approximations via prediction error identification

Automatica (Journal of IFAC)
Paper: Uniquely identifiable state-space and ARMA parametrizations for multivariable linear systems

Automatica (Journal of IFAC)

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Abstract

We outline a proof of the strong consistency of the maximum likelihood estimate of the parameters of Gaussian random processes possessing linear autoregressive moving average or state space representations.