Suppose that Y is a noise-corrupted observation of a signal S. That is, Y = S +N,

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Suppose that Y is a noise-corrupted observation of a signal S. That is, Y = S +N, where S is independent of N. Assume that for a known σ, N ~ N (0, σ2) and SN (0, θ2), where θ is unknown. Given the observation θ = y:
(a) Obtain the MLE, θ-capML:
(b) Obtain an EM algorithm.
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Mathematical Statistics With Applications In R

ISBN: 9780124171138

2nd Edition

Authors: Chris P. Tsokos, K.M. Ramachandran

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