Frequency domain Cramer-Rao bound for Gaussian processes
Ariela Zeira, Arye Nehorai · IEEE Transactions on Acoustics Speech and Signal Processing · 1990
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 (1953) 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 given.>