Cramer-Rao bounds for AR parameter and reflection coefficient estimators

DOI10.1109/29.17573MaRDI QIDQ3823030zbMATH OpenOpenAlexFDO

Authors Pham Dinh Tuan

Publication date 1989

Published in IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/29.17573

zbMATH Keywords

closed formfinite sample Cramér-Rao boundGaussian autoregressive modelQuick algorithmsreflection coefficients

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(12)

• Computation of the exact information matrix of Gaussian dynamic regression time series models
• The Cramér-Rao bound for continuous-time autoregressive parameter estimation with irregular sampling
• Computation of the Fisher information matrix for time series models
• On the statistics of the estimated reflection coefficients of an autoregressive process
• On the computation of the Cramer-Rao bound for ARMA parameter estimation
• A general lower bound for parametric spectrum estimation
• Cramer-Rao bounds for the estimation of means in a clustering problem
• A modified Cramér-Rao bound and its applications (Corresp.)
• Concentrated Cramer-Rao bound expressions
• A recursive algorithm for computing Cramer-Rao-type bounds on estimator covariance
• An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models
• On the accuracy of estimating the parameters of a regular stationary process

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