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Generality of Maximum Likelihood Least Squares

Note that the maximum likelihood estimate coincides with the least squares estimate whenever the signal model is of the form

$\displaystyle x(n) = {\hat x}(n) + v(n)$ (6.53)

where $ v(n)$ is zero-mean Gaussian noise, and $ {\hat x}(n)$ is any deterministic model for the mean of $ x(n)$ . This is an extremely general formulation that can be applied in many situations beyond sinusoids in white noise.


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``Spectral Audio Signal Processing'', by Julius O. Smith III, W3K Publishing, 2011, ISBN 978-0-9745607-3-1.
Copyright © 2022-02-28 by Julius O. Smith III
Center for Computer Research in Music and Acoustics (CCRMA),   Stanford University
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