On the accuracy of estimating the parameters of a regular stationary process

Author

Friedlander, Benjamin ; Francos, Joseph

Author_Institution

Dept. of Electr. & Comput. Eng., California Univ., Davis, CA, USA

Volume

42

Issue

4

fYear

1996

fDate

7/1/1996 12:00:00 AM

Firstpage

1202

Lastpage

1211

Abstract

Any regular stationary random processes can be represented as the sum of a purely indeterministic process and a deterministic one. This paper considers the achievable accuracy in the joint estimation of the parameters of these two components, from a single observed realization of the process. An exact form of the Cramer-Rao bound (CRB) is derived, as well as a conditional CRB. The relationships between these bounds, and their relations to the previously derived asymptotic bound, are explored by analysis and numerical examples

Keywords

autoregressive processes; information theory; parameter estimation; random processes; AR process; Cramer-Rao bound; asymptotic bound; conditional CRB; deterministic process; estimation accuracy; exact CRB; indeterministic process; parameter estimation; regular stationary random processes; Colored noise; Distribution functions; Electronic warfare; Frequency measurement; Military computing; Parameter estimation; Random processes; Random variables; Statistics; Technological innovation;

fLanguage

English

Journal_Title

Information Theory, IEEE Transactions on

Publisher

ieee

ISSN

0018-9448

Type

jour

DOI

10.1109/18.508842

Filename

508842