uppose the observed real valued processes of discrete time
are connected by the
relationship
where the
is a Gaussian random variable with zero mean. Assume farther that we are given
samples
and
.
We would like to compute a maximal likelihood estimate of
.
The loglikelihood function is proportional to the
sum
where we use the notation
.
Hence, the maximal likelihood estimate
has to
satisfy
Therefore, the value
is given by the projection of
on
:
