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.


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    Title :

    The Exact Cramer-Rao Bound for Gaussian Autoregressive Processes


    Contributors:

    Published in:

    Publication date :

    1987-07-01


    Size :

    1548645 byte




    Type of media :

    Article (Journal)


    Type of material :

    Electronic Resource


    Language :

    English




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