Exact maximum likelihood identification of MA(1) systems driven by Cauchy noise of unknown dispersion
George A. Tsihrintzis, Chrysostomos L. Nikias · IEEE Signal Processing Letters · 1995
Derives the exact likelihood function for identification of the parameter of a MA(1) system from observation of its output when the input is an i.i.d. Cauchy sequence of unknown dispersion. Computer simulation illustrates the procedure.