A note on recursive maximum likelihood for autoregressive modeling Vis, Marvin L. ; Scharf, Louis L. "This 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." In 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. Colorado State University. Libraries 1994 text ; image application/pdf ECElls00008.pdf FACFECEN100397ARTI eng c1994 IEEE
A note on recursive maximum likelihood for autoregressive modeling
Vis, Marvin L. ; Scharf, Louis L.
"This 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."
In 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.
Colorado State University. Libraries
1994
text ; image
application/pdf
ECElls00008.pdf
FACFECEN100397ARTI
eng
c1994 IEEE