Title :
Lower bounds on the estimation of harmonics in colored noise
Author :
Ghogho, Mounir ; Swami, Ananthram
Author_Institution :
Dept. of Electron. & Electr. Eng., Strathclyde Univ., Glasgow, UK
Abstract :
A fast algorithm for the computation of the Fisher information matrix for the parameters of a deterministic signal in Gaussian AR noise is derived. The harmonic signal is studied in detail. In the case of a harmonic signal with random phases, closed-form expressions for the finite-sample posterior Cramer-Rao bounds are established. The fast algorithm is also useful for computing the conditional CRB when the additive noise is a non-Gaussian AR process. It is seen that the asymptotic lower bounds may deviate significantly from the exact bounds even when the data length is moderate. Theoretical results are illustrated via numerical evaluation of the different lower bounds.
Keywords :
Gaussian noise; autoregressive processes; harmonic analysis; information theory; matrix algebra; parameter estimation; signal processing; Fisher information matrix; Gaussian AR noise; additive noise; asymptotic lower bounds; closed-form expressions; colored noise; conditional CRB; data length; deterministic signal parameters; exact bounds; fast algorithm; finite-sample posterior Cramer-Rao bounds; harmonic signal; harmonics estimation; nonGaussian AR process; numerical evaluation; random phase; signal processing; AWGN; Additive noise; Additive white noise; Colored noise; Frequency; Gaussian noise; Military computing; Parameter estimation; Sensor arrays; Signal processing algorithms;
Conference_Titel :
Signals, Systems & Computers, 1997. Conference Record of the Thirty-First Asilomar Conference on
Conference_Location :
Pacific Grove, CA, USA
Print_ISBN :
0-8186-8316-3
DOI :
10.1109/ACSSC.1997.680373
