๐”– Bobbio Scriptorium
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On Modified Maximum Likelihood Estimators of the Autocorrelation Coefficient in Linear Models

โœ Scribed by Warren T. Dent and Shirley Cassing


Book ID
124280091
Publisher
Oxford University Press
Year
1978
Tongue
English
Weight
372 KB
Volume
65
Category
Article
ISSN
0006-3444

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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,