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On the computation of the Cramer-Rao bound for ARMA parameter estimation

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1 Author(s)
Friedlander, Benjamin ; Systems Control Technology, Inc., Palo Alto, CA

The Cramer-Rao lower bound (CRLB) provides a useful tool for evaluating the performance of parameter estimation techniques. Several techniques for the computation of the asymptotic form of the CRLB for ARMA models are presented. It is shown that the asymptotic CRLB can be expressed as an explicit function of the model parameters.

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Acoustics, Speech and Signal Processing, IEEE Transactions on  (Volume:32 ,  Issue: 4 )