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.<>


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    Titel :

    The exact Cramer-Rao bound for Gaussian autoregressive processes


    Beteiligte:
    Friedlander, B. (Autor:in) / Porat, B. (Autor:in)


    Erscheinungsdatum :

    01.01.1989


    Format / Umfang :

    366173 byte




    Medientyp :

    Aufsatz (Zeitschrift)


    Format :

    Elektronische Ressource


    Sprache :

    Englisch



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