Title :
The Exact Cramer-Rao Bound for Gaussian Autoregressive Processes
Author :
Porat, Boaz ; Friedlander, Benjamin
Author_Institution :
Technion¿Israel Institute of Technology
fDate :
7/1/1987 12:00:00 AM
Abstract :
An explicit expression is derived for the Cramer-Rao bound(CRB)on unbiased estimates of the parameters of autoregressiveprocesses, given a finite number of measurements. The expressionconverges to the well-known asymptotic form of the CRB when thenumber of measurements tends to infinity. The behavior of thebound is illustrated by some numerical examples.
Keywords :
Adaptive filters; Autoregressive processes; Covariance matrix; Difference equations; Gaussian processes; H infinity control; Parameter estimation; Predictive models; Spectral analysis; Yttrium;
Journal_Title :
Aerospace and Electronic Systems, IEEE Transactions on
DOI :
10.1109/TAES.1987.310887
