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The CRB for parameter estimation in irregularly sampled continuous-time ARMA systems

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2 Author(s)
Larsson, E.K. ; Dept. of Syst. of Control, Uppsala Univ., Sweden ; Larsson, E.G.

We derive novel and compact formulas for the Cramer-Rao bound (CRB) associated with the identification of the parameters in a continuous-time autoregressive moving-average (ARMA) model, given nonuniformly sampled data. Our approach is based on a state-space formulation of the ARMA model, which facilitates a derivation of the CRB in closed form. Numerical examples illustrate our results.

Published in:

Signal Processing Letters, IEEE  (Volume:11 ,  Issue: 2 )