Vis, Marvin L., authorScharf, Louis L., authorIEEE, publisher2007-01-032007-01-031994Vis, 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.http://hdl.handle.net/10217/742In 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.born digitalarticleseng©1994 IEEE.Copyright 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.matrix algebramaximum likelihood estimationtime seriescorrelation methodserror analysisestimation theorystochastic processesfiltering and prediction theoryText