Fast computation of the exact FIM for deterministic signals in colored noise

被引：10

作者：

Ghogho, M ^{[1
]}

Swami, A

机构：

[1] Univ Strathclyde, Dept Elect & Elect Engn, Signal Proc Div, Glasgow G1 1XW, Lanark, Scotland

[2] USA, Res Lab, Adelphi, MD 20783 USA

来源：

IEEE TRANSACTIONS ON SIGNAL PROCESSING | 1999年 / 47卷 / 01期

基金：

英国工程与自然科学研究理事会;

关键词：

Cramer-Rao bound; deterministic signals; fast algorithm; Fisher information matrix; posterior sinusoids;

D O I：

10.1109/78.738239

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：

A fast algorithm for computing the exact finite-sample Fisher information matrix (FIM) for the parameters of a deterministic signal observed in Gaussian AR noise is derived. In the case of a harmonic signal with random phases, closed-form expressions for the finite-sample posterior Cramer-Rao Bound (PCRB) are established, It is shown that the fast algorithm is also useful for computing the conditional CRB when the additive noise is a non-Gaussian AR process. It is seen that the asymptotic CRB mal deviate significantly from the exact CRB even when the data length is moderate, whereas the PCRB, which is easy to compute, provides a better approximation. Theoretical results are illustrated via numerical evaluation of the different lower bounds.

引用

页码：52 / 61

页数：10

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