On the accuracy of estimating the parameters of a regular stationary process

Benjamin Friedlander; Joseph Francos

doi:10.1109/18.508842

On the accuracy of estimating the parameters of a regular stationary process

Benjamin Friedlander, Joseph Francos

Department of Electrical & Computer Engineering

Research output: Contribution to journal › Article › peer-review

7 Scopus citations

Abstract

Any regular stationary random processes can he represented as the sum of a purely indeterministic process and a deterministic one. This paper considers the achievable accuracy in the joint estimation of the parameters of these two components, from a single observed realization of the process. An exact form of the Cramèr-Rao Bound (CRB) is derived, as well as a conditional CRB. The relationships between these bounds, and their relations to the previously derived asymptotic bound, are explored by analysis and numerical examples.

Original language	English
Pages (from-to)	1202-1211
Number of pages	10
Journal	IEEE Transactions on Information Theory
Volume	42
Issue number	4
DOIs	https://doi.org/10.1109/18.508842
State	Published - 1 Dec 1996

Keywords

Cramer-Rao bound
Deterministic process
Purely indeterministic process
Stationary process
Wold decomposition

ASJC Scopus subject areas

Information Systems
Computer Science Applications
Library and Information Sciences

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10.1109/18.508842

Cite this

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keywords = "Cramer-Rao bound, Deterministic process, Purely indeterministic process, Stationary process, Wold decomposition",

author = "Benjamin Friedlander and Joseph Francos",

note = "Funding Information: Manuscript received November 6, 1993; revised May 19, 1995. This work was supported by the Army Research Office under Contract DAAL03-91-C-0022, sponsored by the US. Army Communications Electronics Command, Center for Signals Warfare. B. Friedlander is with the Department of Electrical and Computer Engineering, University of California, Davis, CA 95616 USA. J. Francos is with the Department of Electrical & Computer Engineering, Ben Gurion University, Beer Sheva 84105, Israel. Publisher Item Identifier S 0018-9448(96)03643-7.",

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On the accuracy of estimating the parameters of a regular stationary process

Abstract

Keywords

ASJC Scopus subject areas

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