Abstract:Noise-compensated autoregressive (AR) analysis is a problem insufficiently explored with regard to the accuracy of the estimate. This paper studies comprehensively the lower limit of the estimation variance, presenting the asymptotic Cramér-Rao bound (CRB) for Gaussian processes and additive Gaussian noise. This novel result is obtained by using a frequency-domain perspective of the problem as well as an unusual parametrization of an AR model. The Wiener filter rule appears as the distinctive building element … Show more
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.