The Cramer-Rao lower bound for noisy input-output systems

被引：21

作者：

Karlsson, E ^{[1
]}

Söderström, T ^{[1
]}

Stoica, P ^{[1
]}

机构：

[1] Ericsson Radio Syst, Audio & Visual Technol, SE-16480 Stockholm, Sweden

来源：

SIGNAL PROCESSING | 2000年 / 80卷 / 11期

关键词：

Cramer-Rao lower bound; noisy input-output systems; error in variables;

D O I：

10.1016/S0165-1684(00)00126-2

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

The asymptotic Cramer-Rao lower bound (CRLB) describes the best possible accuracy attainable by an efficient estimator as the number of data samples increase. It is developed here for the case of identifying noisy input-output systems. In this case, the measured variables and their statistical properties depend in a complicated way on the unknown parameters. A form of the CRLB is derived, generalizing a classical result by Whittle to include also a deterministic component in the data. The case where the undisturbed input is an ARMA process and the measurement noise on the input and output are white is treated in detail, and an explicit computational algorithm is developed. (C) 2000 Elsevier Science B.V. All rights reserved.

引用

页码：2421 / 2447

页数：27

共 24 条

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