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A note on recursive maximum likelihood for autoregressive modeling

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dc.contributor.authorVis, Marvin L., author
dc.contributor.authorScharf, Louis L., author
dc.contributor.authorIEEE, publisher
dc.date.accessioned2007-01-03T04:18:51Z
dc.date.available2007-01-03T04:18:51Z
dc.date.issued1994
dc.description.abstractIn this paper, we rederive recursive maximum likelihood (RML) for an autoregressive (AR) time series using the Levinson decomposition. This decomposition produces a recursive update of the likelihood function for the AR parameters in terms of the reflection coefficients, prediction error variances, and forward and backward prediction errors. A fast algorithm for this recursive update is presented and compared with the recursive updates of the Burg algorithm. The comparison clarifies the connection between Burg's algorithm and RML.
dc.description.sponsorshipThis work was supported by Bonneville Power Administration under Contract no. DEBI7990BPO7346 and by the Office of Naval Research, Statistics, and Probability Branch under Contract no. N00014-89-J-1070.
dc.format.mediumborn digital
dc.format.mediumarticles
dc.identifier.bibliographicCitationVis, Marvin L. and Louis L. Scharf, A Note on Recursive Maximum Likelihood for Autoregressive Modeling, IEEE Transactions on Signal Processing 42, no. 10 (October 1994): 2881-2883.
dc.identifier.urihttp://hdl.handle.net/10217/742
dc.languageEnglish
dc.language.isoeng
dc.publisherColorado State University. Libraries
dc.relation.ispartofFaculty Publications
dc.rights©1994 IEEE.
dc.rightsCopyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright.
dc.subjectmatrix algebra
dc.subjectmaximum likelihood estimation
dc.subjecttime series
dc.subjectcorrelation methods
dc.subjecterror analysis
dc.subjectestimation theory
dc.subjectstochastic processes
dc.subjectfiltering and prediction theory
dc.titleA note on recursive maximum likelihood for autoregressive modeling
dc.typeText

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