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 | |
| 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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