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The relation between maximum likelihood estimation of structured covariance matrices and periodograms

โœ Scribed by Dembo, A.


Book ID
117906517
Publisher
IEEE
Year
1986
Weight
260 KB
Volume
34
Category
Article
ISSN
0096-3518

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An elementary derivation of the maximum
โœ Seppo Karrila; Tapio Westerlund ๐Ÿ“‚ Article ๐Ÿ“… 1991 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 141 KB

The unique maximum likelihood estimate of the covariance matrix of normally distributed random vectors is derived by use of elementary linear algebra leading to simple scalar equations. In addition the application of a determinant inequality, also derived here, shows that a standard "derivation" of