Suppose the data is generated from a model
where
is a matrix of basis functions,
is a amplitude vector,
and is an vector of *iid* zero-mean Gaussian RVs
with variance . Assume each column of
depends non-linearly on a parameter . Let
be
these parameters. This model underlies many important
estimation problems, such as the
estimation of the frequency of sinewaves in noise [24].
The likelihood function is given by

Baggenstoss
2017-05-19