Interpolating autoregressive processes: a bound on the restoration error

An upper bound is obtained for the restoration error variance of a sample restoration method for autoregressive processes that was presented by A.J.E.M. Janssen et al. (ibid., vol.ASSP-34, p.317-30, Apr. 1986). The upper bound derived is lower if the autoregressive process has poles close to the unit circle of the complex plane. This situation corresponds to a peaky signal spectrum. The bound is valid for the case in which one sample is unknown in a realization of an autoregressive process of arbitrary finite order.<
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