On the computation of the Cramer-Rao bound for ARMA parameter estimation

DOI10.1109/TASSP.1984.1164391zbMath0583.62081MaRDI QIDQ3706376

Benjamin Friedlander

Publication date: 1984

Published in: IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

zbMATH Keywords

ARMA modelsCramér-Rao lower boundasymptotic formexplicit function of the model parameters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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