Spectrum estimation via maximum likelihood estimation of Toeplitz constrained covariances
Michael I. Miller, M. Turmon, Joseph A. O’Sullivan, Donald L. Snyder · 2003
The authors apply the maximum-likelihood (ML) method to the estimation of Toeplitz constrained covariances from Gaussian processes. An iterative expectation-maximization algorithm is used to generate the maximizers, and performance results are shown, demonstrating the superior mean-squared error properties of the ML estimator to conventional covariance estimates.>