The baby girl, named Faith Evangeline Elisa Grammer, was born at 1 a.m. and weighed 6 lbs., 2 oz. She is the first child for the couple, who were married in February 2011.
"We were ecstatic earlier this year when we announced that Kayte was carrying twins. Tragically, we lost the little boy shortly thereafter," the couple said in a statement. "A glorious birth with a lingering sadness is ours today."
In January, Grammer, 57, told reporters backstage at the Golden Globe Awards that he and his wife were expecting twins. He had just received a trophy for best actor in a TV series with his role in the series, "Boss."
The Grammers said Friday that they chose to keep the loss of their son private, as it was "unspeakably painful."
"We choose to celebrate the life that has been given us," they said in a statement.
Faith is the first for the couple, but the fifth child for Grammer, who has four children from previous relationships, as well as a grandchild.
The actor is best known for his role on the NBC comedy series "Frasier," which ran for 11 seasons and earned him four Emmy Awards and two Golden Globe Awards.
(Reporting by Bob Tourtellotte; Editing by Gary Hill)
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