For now, we stay with the AR coefficients, which are well known [25]. These consist of the innovation variance and the AR coefficients . There are few non-linear problems with ML solutions available without iterative solutions. But, the AR coefficients, which are obtained by the Levinson algorithm, are surprisingly the same parameters that maximize the likelihood function. The ACF and AR coefficients are obtained from each other by 1:1 transformation, so the ACF also serves as the ML estimate.

Baggenstoss 2017-05-19