Approximate Maximum Likelihood Estimation of a Step Function Spectral Density.

Abstract

Approximate maximum likelihood estimates are obtained for the ordinates of a step function spectra density in the Gaussian case. The estimates are simply integral averages of the periodogram over the frequency bands in which the density is constant. Whittle's form of the approximate likelihood is used. Results are given for scalar and vector processes. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Jun 01, 1976
Accession Number
ADA031115

Entities

People

  • Paul Shaman

Organizations

  • Carnegie Mellon University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Covariance
  • Data Science
  • Fourier Series
  • Frequency
  • Frequency Bands
  • Gaussian Processes
  • Information Science
  • Integrals
  • Maximum Likelihood Estimation
  • Military Research
  • New York
  • Stationary
  • Statistical Analysis
  • Statistics
  • Step Functions
  • United States
  • United States Government

Fields of Study

  • Mathematics

Readers

  • Approximation Theory.
  • Statistical inference.