Title :
On the computation of the Cramer Rao bound for ARMA parameter estimation
Author :
Friedlander, Benjamin
Author_Institution :
Systems Control Technology, Palo Alto, California
Abstract :
The Cramer-Rao lower bound (CRLB) provides a useful tool for evaluating the performance of parameter estimation techniques. Several techniques for the computation of the CRLB for ARMA and AR-plus-noise models are presented. It is shown that the CRLB can be expressed as an explicit function of the model parameters.
Keywords :
Adaptive filters; Adaptive signal processing; Control systems; Covariance matrix; Cramer-Rao bounds; Density functional theory; Gaussian processes; Milling machines; Parameter estimation; Speech analysis;
Conference_Titel :
Acoustics, Speech, and Signal Processing, IEEE International Conference on ICASSP '84.
DOI :
10.1109/ICASSP.1984.1172318
