A method for computing the information matrix of stationary Gaussian processes
暂无分享,去创建一个
[1] P. Whittle,et al. Estimation and information in stationary time series , 1953 .
[2] C.-C. Jay Kuo,et al. Design and analysis of Toeplitz preconditioners , 1992, IEEE Trans. Signal Process..
[3] M. Morf,et al. Some new algorithms for recursive estimation in constant, linear, discrete-time systems , 1974 .
[4] W. F. Trench. An Algorithm for the Inversion of Finite Toeplitz Matrices , 1964 .
[5] C.-C. Jay Kuo,et al. Spectral properties of preconditioned rational Toeplitz matrices , 1993 .
[6] Fernando Giannella. C-R bounds for the AR parameter estimation as a function of a data length , 1986, IEEE Trans. Acoust. Speech Signal Process..
[7] H. Cramér. A contribution to the theory of statistical estimation , 1946 .
[8] Ariela Zeira,et al. Frequency domain Cramer-Rao bound for Gaussian processes , 1990, IEEE Trans. Acoust. Speech Signal Process..
[9] P.D. Tuan,et al. Cramer-Rao bounds for AR parameter and reflection coefficient estimators , 1989, IEEE Trans. Acoust. Speech Signal Process..
[10] Kenneth S. Miller,et al. Complex stochastic processes: an introduction to theory and application , 1974 .
[11] B. Porat,et al. The Exact Cramer-RAO Bound For Gaussian Autoregressive Processes , 1985, Nineteeth Asilomar Conference on Circuits, Systems and Computers, 1985..
[12] Guy Mélard,et al. On a fast algorithm for the exact information matrix of a Gaussian ARMA time series , 1994, IEEE Trans. Signal Process..
[13] C. R. Rao,et al. Information and the Accuracy Attainable in the Estimation of Statistical Parameters , 1992 .
[14] Gene H. Golub,et al. Matrix computations , 1983 .
[15] Benjamin Friedlander,et al. Computation of the exact information matrix of Gaussian time series with stationary random components , 1985, 1985 24th IEEE Conference on Decision and Control.