Cramer-Rao bounds for AR parameter and reflection coefficient estimators

DOI10.1109/29.17573zbMath0669.62084OpenAlexW2047215245MaRDI QIDQ3823030

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

reflection coefficientsclosed formfinite sample Cramér-Rao boundGaussian autoregressive modelQuick algorithms

Mathematics Subject Classification ID

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

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Computation of the Fisher information matrix for time series models ⋮ An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models ⋮ Computation of the exact information matrix of Gaussian dynamic regression time series models

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