{"title":"Maximum likelihood theory for a class of independently, but nonidentically distributed observations","authors":"Fang-kuo Sun, T. Lee","doi":"10.1109/CDC.1978.268023","DOIUrl":null,"url":null,"abstract":"In this paper, maximum likelihood estimates of the mean and the covariance of a normal random variable, based on a set of independently, but nonidentically distributed observations, are discussed. An efficient algorithm for computing MLEs is introduced. The asymptotic properties such as strong consistency and asymptotic normality are examined.","PeriodicalId":375119,"journal":{"name":"1978 IEEE Conference on Decision and Control including the 17th Symposium on Adaptive Processes","volume":"26 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"1978 IEEE Conference on Decision and Control including the 17th Symposium on Adaptive Processes","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/CDC.1978.268023","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 5
Abstract
In this paper, maximum likelihood estimates of the mean and the covariance of a normal random variable, based on a set of independently, but nonidentically distributed observations, are discussed. An efficient algorithm for computing MLEs is introduced. The asymptotic properties such as strong consistency and asymptotic normality are examined.
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