The exact Cramer-Rao bound for Gaussian autoregressive processes |
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| Authors: | Friedlander B Porat B |
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| Institution: | Signal Process. Technol. Ltd., Palo Alto, CA; |
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| Abstract: | 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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