Title :
The CRB for parameter estimation in irregularly sampled continuous-time ARMA systems
Author :
Larsson, Erik K. ; Larsson, Erik G.
Author_Institution :
Dept. of Syst. of Control, Uppsala Univ., Sweden
Abstract :
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 the nonuniformity of the 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.
Keywords :
autoregressive moving average processes; continuous time systems; parameter estimation; signal processing; state-space methods; CRB; autoregressive moving-average model; irregularly sampled continuous-time ARMA systems; parameter estimation; signal processing; state-space formulation; Accuracy; Calculus; Computed tomography; Control systems; Parameter estimation; Sampling methods; Signal processing; Signal sampling; Statistics; System identification;
Conference_Titel :
Signal Processing and Information Technology, 2003. ISSPIT 2003. Proceedings of the 3rd IEEE International Symposium on
Print_ISBN :
0-7803-8292-7
DOI :
10.1109/ISSPIT.2003.1341072
