On the computation of the Cramer-Rao bound for ARMA parameter estimation

DOI10.1109/TASSP.1984.1164391MaRDI QIDQ3706376zbMATH OpenFDO

Authors Benjamin Friedlander

Publication date 1984

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/TASSP.1984.1164391

zbMATH Keywords

ARMA modelsasymptotic formCramér-Rao lower boundexplicit function of the model parameters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Cramer-Rao bounds for AR parameter and reflection coefficient estimators
• On the criterion function for ARMA estimation
• Bounds on the accuracy of Gaussian ARMA parameter estimation methods based on sample covariances
• scientific article; zbMATH DE number 411185
• The Cramér-Rao bound for continuous-time autoregressive parameter estimation with irregular sampling
• Parameter estimation of ARMA processes
• On the martingale approximation of the estimation error of ARMA parameters
• Asymptotic Cramér-Rao Bound for Noise-Compensated Autoregressive Analysis

Cited in

(18)

• Parameter estimation of continuous-time stationary Gaussian processes with rational spectra
• The Cramér--Rao lower bound for noisy input--output systems.
• Construction of the exact Fisher information matrix of Gaussian time series models by means of matrix differential rules
• On the solution of Stein's equation and Fisher's information matrix of an ARMAX process
• Selection of optimal AR spectral estimation method for internal carotid arterial Doppler signals using Cramer-Rao bound
• 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
• Linearization method for finding Cramér-Rao bounds in signal processing
• Matrix algebraic properties of the Fisher information matrix of stationary processes
• A Note on the Information Matrix for Multiplicative Seasonal Autoregressive Moving-Average Models
• A general lower bound for parametric spectrum estimation
• Bounds on the accuracy of Gaussian ARMA parameter estimation methods based on sample covariances
• Cramer-Rao bounds for AR parameter and reflection coefficient estimators
• An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models
• On Stein's equation, Vandermonde matrices and Fisher's information matrix of time series processes. I: The autoregressive moving average process
• Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes
• The asymptotic and exact Fisher information matrices of a vector ARMA process
• Matrix differential calculus applied to multiple stationary time series and an extended Whittle formula for information matrices

This page was built for publication: On the computation of the Cramer-Rao bound for ARMA parameter estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3706376)