- Title
- On the CRLB for combined model and model order estimation of stationary stochastic processes
- Creator
- Ninness, Brett
- Relation
- IEEE Signal Processing Letters Vol. 11, Issue 2, p. 239-296
- Publisher Link
- http://dx.doi.org/10.1109/LSP.2003.821752
- Publisher
- Institute of Electrical and Electronics Engineers (IEEE)
- Resource Type
- journal article
- Date
- 2004
- Description
- This letter is concerned with quantifying the Cramér-Rao lower bound for model-based spectral density estimation in the case of joint model and model-order estimation. In particular, the results here extend previous work by providing closed-form frequency domain expressions that, among other things, highlight the effect of order estimation bias on the total accuracy of model-based spectral density estimation.
- Subject
- Autoregressive moving-average (ARMA) modeling; Cramér-Rao bound; maximum-likelihood estimation; spectrum estimation
- Identifier
- http://hdl.handle.net/1959.13/30103
- Identifier
- uon:2658
- Identifier
- ISSN:1070-9908
- Rights
- Copyright © 2004 IEEE. Reprinted from IEEE Signal Processing Letters, 11, 2, 239-296. This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of the University of Newcastle's products or services. Internal or personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution must be obtained from the IEEE by writing to pubs-permissions@ieee.org. By choosing to view this document, you agree to all provisions of the copyright laws protecting it.
- Language
- eng
- Full Text
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