Computation of the Exact Information Matrix of Gaussian Time Series with Stationary Random Components

IEEE Transactions on Acoustics, Speech, and Signal Processing

Volumn 34, Issue 1, 1986, Pages 118-130

  Porat, Boaz ^a   Friedlander, Benjamin ^b  

^a TECHNION ISRAEL INSTITUTE OF TECHNOLOGY   (Israel)

^b Systems Control Technology Inc   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

MATHEMATICAL TECHNIQUES - ALGORITHMS; STATISTICAL METHODS - TIME SERIES ANALYSIS;

ARMA PROCESSES; GAUSSIAN TIME SERIES; INFORMATION MATRIX;

SIGNAL PROCESSING;

EID: 0022671576     PISSN: 00963518     EISSN: None     Source Type: Journal    
DOI: 10.1109/TASSP.1986.1164786     Document Type: Article

References (12)

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6. B. Porat and B. Friedlander, “The exact Cramer-Rao bound for autoregressive Gaussian processes,” submitted for publication.
7. —, “A general lower bound for parametric spectrum estimation,” IEEE Trans. Acoust., Speech, Signal Processing, vol. ASSP-32, pp. 728–733, Aug. 1984.
8. S. Zacks, The Theory of Statistical Inference. New York: Wiley, 1971.
9. B. Porat and B. Friedlander, “Asymptotic analysis of the bias of the modified Yule-Walker estimator,” IEEE Trans. Automat. Contr., vol. AC-30, pp. 765–767, Aug. 1985.
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