The autocovariance *y*_{n}, *r*_{y}(*m*), equals the sum of the
cross-covariances of the modes: .If *i*=*j*, *r*_{ij}(*m*) is the autocovariance of an autoregressive
process and can be computed inverting the Yule Walker equation
[Stoica & Moses 1997]:

(A1) | ||

(A2) |

(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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