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.<>


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    Title :

    The exact Cramer-Rao bound for Gaussian autoregressive processes


    Contributors:
    Friedlander, B. (author) / Porat, B. (author)


    Publication date :

    1989-01-01


    Size :

    366173 byte




    Type of media :

    Article (Journal)


    Type of material :

    Electronic Resource


    Language :

    English



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