• DocumentCode
    835468
  • Title

    The exact Cramer-Rao bound for Gaussian autoregressive processes

  • Author

    Friedlander, Benjamin ; Porat, Boa

  • Author_Institution
    Signal Process. Technol. Ltd., Palo Alto, CA, USA
  • Volume
    25
  • Issue
    1
  • fYear
    1989
  • Firstpage
    3
  • Lastpage
    7
  • Abstract
    An explicit expression is derived for the Cramer-Rao bound (CRB) on unbiased estimates of the parameters of autoregressive (AR) processes, given a finite number of measurements. The expression converges to the well-known asymptotic form of the CRB when the number of measurements tends to infinity. The behavior of the bound is illustrated by some numerical examples.<>
  • Keywords
    parameter estimation; signal processing; statistical analysis; Cramer-Rao bound; Gaussian autoregressive processes; asymptotic form; parameter estimation; signal processing; unbiased estimates; Adaptive filters; Adaptive signal processing; Autoregressive processes; Covariance matrix; Difference equations; Parameter estimation; Predictive models; Signal processing; Signal processing algorithms; Spectral analysis;
  • fLanguage
    English
  • Journal_Title
    Aerospace and Electronic Systems, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9251
  • Type

    jour

  • DOI
    10.1109/7.18656
  • Filename
    18656
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=835468