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The Exact Cramer-Rao Bound for Gaussian Autoregressive Processes

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2 Author(s)
Porat, B. ; Technion¿Israel Institute of Technology ; Friedlander, Benjamin

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.

Published in:

Aerospace and Electronic Systems, IEEE Transactions on  (Volume:AES-23 ,  Issue: 4 )