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MAXIMUM LIKELIHOOD ESTIMATION IN LINEAR MODELS WITH EQUI-CORRELATED RANDOM ERRORS

โœ Scribed by Haimeng Zhang; M. Bhaskara Rao


Book ID
110970413
Publisher
John Wiley and Sons
Year
2006
Tongue
English
Weight
154 KB
Volume
48
Category
Article
ISSN
1369-1473

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Robust maximum likelihood estimation in
โœ Giuseppe Calafiore; Laurent El Ghaoui ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 181 KB

This paper addresses the problem of maximum likelihood parameter estimation in linear models a!ected by Gaussian noise, whose mean and covariance matrix are uncertain. The proposed estimate maximizes a lower bound on the worst-case (with respect to the uncertainty) likelihood of the measured sample,