The autocovariance yn, ry(m), equals the sum of the
cross-covariances of the modes: .If i=j, rij(m) is the autocovariance of an autoregressive
process and can be computed inverting the Yule Walker equation
[Stoica & Moses 1997]:
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(A1) | |
(A2) |
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(A3) | |
(A4) |
This result allows a simple computation of the Cramér-Rao bound for the matrix Q using the simplified expression of the Fisher information matrix for a Gaussian distribution [Stoica & Moses 1997].
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