Whittle likelihood

In statistics, Whittle likelihood is an approximation to the likelihood function of a stationary Gaussian time series. It is named after the mathematician and statistician Peter Whittle, who introduced it in his PhD thesis in 1951.[1] It is commonly used in time series analysis and signal processing for parameter estimation and signal detection.

  1. ^ Whittle, P. (1951). Hypothesis testing in times series analysis. Uppsala: Almqvist & Wiksells Boktryckeri AB.