On the accuracy of estimating the parameters of a regular stationary process

Authors:
B. Friedlander;J. Francos
Affiliations:
Dept. of Electr. & Comput. Eng., California Univ., Davis, CA;-
Venue:
IEEE Transactions on Information Theory
Year:
2006

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Abstract

Any regular stationary random processes can be represented as the sum of a purely indeterministic process and a deterministic one. This paper considers the achievable accuracy in the joint estimation of the parameters of these two components, from a single observed realization of the process. An exact form of the Cramer-Rao bound (CRB) is derived, as well as a conditional CRB. The relationships between these bounds, and their relations to the previously derived asymptotic bound, are explored by analysis and numerical examples