6.7 Information matrix for MLE from circular CAR(1) process. The simplest nontrivial stationary Gaussian process on the

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6.7 Information matrix for MLE from circular CAR(1) process. The simplest nontrivial stationary Gaussian process on the line is the AR(1) model or equivalently the CAR(1) model. The spectral density of the covariance function has two equivalent representations, given in (6.17), i.e.

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