The exact Cramer-Rao bound for Gaussian autoregressive processes
B. Friedlander, Boaz Porat · IEEE Transactions on Aerospace and Electronic Systems · 1989
An explicit expression is derived for the Cramer-Rao bound (CRB) on unbiased estimates of the parameters of autoregressive (AR) processes, given a finite number of measurements. The expression converges to the well-known asymptotic form of the CRB when the number of measurements tends to infinity. The behavior of the bound is illustrated by some numerical examples.>