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.<>
The exact Cramer-Rao bound for Gaussian autoregressive processes
IEEE Transactions on Aerospace and Electronic Systems ; 25 , 1 ; 3-7
1989-01-01
366173 byte
Article (Journal)
Electronic Resource
English
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