Title :
On the Cramer-Rao bound for model-based spectral analysis
Author :
Sando, Simon ; Mitra, Amit ; Stoica, Petre
Author_Institution :
CiSSaIM, Queensland Univ. of Technol., Brisbane, Qld., Australia
Abstract :
We derive the Cramer-Rao bound for the parameters of a general time series model whose parameterization is dependent upon an unknown integer model order. To illustrate the usefulness of the theoretical results, the example of autoregressive spectral density estimation using Akaike (1974) order selection criterion is presented.
Keywords :
autoregressive processes; parameter estimation; spectral analysis; time series; Akaike order selection criterion; Cramer-Rao bound; autoregressive spectral density estimation; general time series model; integer model order; model-based spectral analysis; signal model; signal processing; Associate members; Australia; Autoregressive processes; Computational modeling; Control systems; Covariance matrix; Parameter estimation; Signal processing; Spectral analysis; Statistical analysis;
Journal_Title :
Signal Processing Letters, IEEE
