An explicit expression is derived for the Cramer-Rao bound(CRB)on unbiased estimates of the parameters of autoregressiveprocesses, given a finite number of measurements. The expressionconverges to the well-known asymptotic form of the CRB when thenumber of measurements tends to infinity. The behavior of thebound is illustrated by some numerical examples.
The Exact Cramer-Rao Bound for Gaussian Autoregressive Processes
IEEE Transactions on Aerospace and Electronic Systems ; AES-23 , 4 ; 537-542
1987-07-01
1548645 byte
Article (Journal)
Electronic Resource
English
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