Frequency Domain Cramer-Rao Bound for Gaussian Processes

Ariela Zeira; Arye Nehorai

doi:10.1109/29.56071

Frequency Domain Cramer-Rao Bound for Gaussian Processes

Ariela Zeira
, Arye Nehorai

Research output: Contribution to journal › Article › peer-review

41 Scopus citations

Abstract

An expression is derived for the asymptotic frequency domain Cramer-Rao bound (CRB) on the parameters of Gaussian processes with information in their means. The general result extends Whittle’s formula, which is applicable to Gaussian processes with information in their covariance matrices or spectra. It is useful in many fields, such as system identification, radar, and sonar. Examples of its application to system deconvolution and time delay estimation in colored noise are demonstrated.

Original language	English
Pages (from-to)	1063-1066
Number of pages	4
Journal	IEEE Transactions on Acoustics, Speech, and Signal Processing
Volume	38
Issue number	6
DOIs	https://doi.org/10.1109/29.56071
State	Published - Jun 1990

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10.1109/29.56071

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title = "Frequency Domain Cramer-Rao Bound for Gaussian Processes",

abstract = "An expression is derived for the asymptotic frequency domain Cramer-Rao bound (CRB) on the parameters of Gaussian processes with information in their means. The general result extends Whittle{\textquoteright}s formula, which is applicable to Gaussian processes with information in their covariance matrices or spectra. It is useful in many fields, such as system identification, radar, and sonar. Examples of its application to system deconvolution and time delay estimation in colored noise are demonstrated.",

author = "Ariela Zeira and Arye Nehorai",

note = "Funding Information: Manuscript received December 5, 1988; revised September 2. 1989. The work of A. Nehorai was supported by the Air Force Office of Scientific Research under Grant AFOSR-90-0164. The authors are with the Department of Electrical Engineering. Yale University. New Haven. CT 06520. IEEE Log Number 9034991.",

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N1 - Funding Information: Manuscript received December 5, 1988; revised September 2. 1989. The work of A. Nehorai was supported by the Air Force Office of Scientific Research under Grant AFOSR-90-0164. The authors are with the Department of Electrical Engineering. Yale University. New Haven. CT 06520. IEEE Log Number 9034991.

PY - 1990/6

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N2 - An expression is derived for the asymptotic frequency domain Cramer-Rao bound (CRB) on the parameters of Gaussian processes with information in their means. The general result extends Whittle’s formula, which is applicable to Gaussian processes with information in their covariance matrices or spectra. It is useful in many fields, such as system identification, radar, and sonar. Examples of its application to system deconvolution and time delay estimation in colored noise are demonstrated.

AB - An expression is derived for the asymptotic frequency domain Cramer-Rao bound (CRB) on the parameters of Gaussian processes with information in their means. The general result extends Whittle’s formula, which is applicable to Gaussian processes with information in their covariance matrices or spectra. It is useful in many fields, such as system identification, radar, and sonar. Examples of its application to system deconvolution and time delay estimation in colored noise are demonstrated.

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DO - 10.1109/29.56071

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SN - 0096-3518

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JO - IEEE Transactions on Acoustics, Speech, and Signal Processing

JF - IEEE Transactions on Acoustics, Speech, and Signal Processing

IS - 6

ER -

Frequency Domain Cramer-Rao Bound for Gaussian Processes

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