The exact Cramer-Rao bound for Gaussian autoregressive processes

descriptionPublicationkeyboard_double_arrow_right Article 01 Jul 1987Publisher:Institute of Electrical and Electronics Engineers (IEEE)Journal:IEEE Transactions on Aerospace and Electronic Systems, volume 25, pages 3-7 (issn: 0018-9251,

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Authors: Boaz Porat; Benjamin Friedlander;

doi: 10.1109/7.18656 , 10.1109/acssc.1985.671435 , 10.1109/taes.1987.310887

The exact Cramer-Rao bound for Gaussian autoregressive processes

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Abstract

An explicit expression is derived for the Cramer-Rao bound (CRB) on unbiased estimates of the parameters of autoregressive (AR) processes, given a finite number of measurements. The expression converges to the well-known asymptotic form of the CRB when the number of measurements tends to infinity. The behavior of the bound is illustrated by some numerical examples. >

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Technion – Israel Institute of Technology
Israel

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