uppose the observed real valued processes of discrete time
are connected by the
relationship
where the
is a Gaussian random variable with zero mean. Assume farther that we are given
samples
and
.
We would like to compute a maximal likelihood estimate of
.
The log-likelihood function is proportional to the
sum
where we use the notation
.
Hence, the maximal likelihood estimate
has to
satisfy
Therefore, the value
is given by the projection of
on
:
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