Maximum-likelihood symmetric α-stable parameter estimation
| Autor: | J.S. Bodenschatz, C.L. Nikias |
|---|---|
| Rok vydání: | 1999 |
| Předmět: |
Mathematical optimization
Characteristic function (probability theory) Mean squared error Estimation theory Autocorrelation Probability density function Statistics::Other Statistics Maximization symbols.namesake Scoring algorithm Signal Processing symbols Applied mathematics Electrical and Electronic Engineering Newton's method Mathematics |
| Zdroj: | IEEE Transactions on Signal Processing. 47:1382-1384 |
| ISSN: | 1053-587X |
| DOI: | 10.1109/78.757225 |
| Popis: | Using the close relation between Fisher scoring and Newton maximization, and an efficient density function evaluation, we develop a fast maximum-likelihood parameter estimation method. Simulations show the algorithm to be superior in accuracy to McCulloch's (1986) method and to achieve the Cramer-Rao bound. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|