DocumentCode
867669
Title
On the CRLB for combined model and model-order estimation of stationary stochastic processes
Author
Ninness, Brett
Author_Institution
Sch. of Electr. Eng. & Comput. Sci., Univ. of Newcastle, Callaghan, Australia
Volume
11
Issue
2
fYear
2004
Firstpage
293
Lastpage
296
Abstract
This letter is concerned with quantifying the Cramer-Rao lower bound for model-based spectral density estimation in the case of joint model and model-order estimation. In particular, the results here extend previous work by providing closed-form frequency domain expressions that, among other things, highlight the effect of order estimation bias on the total accuracy of model-based spectral density estimation.
Keywords
autoregressive moving average processes; frequency-domain analysis; maximum likelihood estimation; spectral analysis; ARMA modeling; Cramer-Rao lower bound; autoregressive moving-average; closed-form frequency domain expressions; maximum-likelihood estimation; model-based spectral density estimation; order estimation bias; stationary stochastic processes; Australia Council; Closed-form solution; Computer aided software engineering; Computer science; Frequency domain analysis; Frequency estimation; Maximum likelihood estimation; Parameter estimation; Spectral analysis; Stochastic processes;
fLanguage
English
Journal_Title
Signal Processing Letters, IEEE
Publisher
ieee
ISSN
1070-9908
Type
jour
DOI
10.1109/LSP.2003.821752
Filename
1262003
Link To Document