CR bound analysis of AR parameters - frequency domain approach

For the AR parameter estimates, the CR bound for the AR parameters

   $\displaystyle \mbox{\boldmath$\theta$}$$\displaystyle = [\hat{\sigma}^2, \hat{a}_1, \ldots \hat{a}_P]^\prime
$

may be obtained from section 9.2.7, equations (9.29) (9.34), setting $ Q=0$ and $ B_k=1$. The FIM $ {\bf I}( \hat{\mbox{\boldmath $\theta$}})$ from Section 9.2.7 simplifies to

$\displaystyle {\bf I}(\sigma^2, a_1 \ldots a_P) = \left[ \begin{array}{cc} \fra...
...} & {\bf0}^\prime  {\bf0} & \frac{N}{\sigma^2} {\bf R}_P \end{array} \right].$ (9.45)



Baggenstoss 2017-05-19