Posterior Cramer-Rao bound for adaptive harmonic retrieval
Petr Tichavský · IEEE Transactions on Signal Processing · 1995
The problem of adaptive parameter estimation for a single nonstationary noisy cisoid, where the sinusoidal frequency evolves according to Gaussian random walks, is studied. The lower bound on the minimum mean-square estimation error, which was derived by van Trees (1968), is evaluated for the problem. It is shown that two estimation methods attain this lower bound.>