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
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;
Journal_Title :
Aerospace and Electronic Systems, IEEE Transactions on
