Maximum likelihood estimation in random linear models: Generalizations and performance analysis

Ami Wiesel*, Yonina C. Eldar

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

4 Scopus citations

Abstract

We consider the problem of estimating an unknown deterministic parameter vector in a linear model with a Gaussian model matrix. The matrix has a known mean and independent rows of equal covariance matrix. Our problem formulation also allows for some known columns within this model matrix. We derive the maximum likelihood (ML) estimator associated with this problem and show that it can be found using a simple line-search over a unimodal function which can be efficiently evaluated. We then analyze its asymptotic performance using the Cramer Rao bound. Finally, we discuss the similarity between the ML, total least squares (TLS), and regularized TLS estimators.

Original languageAmerican English
Title of host publication2006 IEEE International Conference on Acoustics, Speech, and Signal Processing - Proceedings
PagesV993-V996
StatePublished - 2006
Externally publishedYes
Event2006 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2006 - Toulouse, France
Duration: 14 May 200619 May 2006

Publication series

NameICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
Volume5
ISSN (Print)1520-6149

Conference

Conference2006 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2006
Country/TerritoryFrance
CityToulouse
Period14/05/0619/05/06

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