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 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.
Keywords :
autoregressive moving average processes; continuous time systems; parameter estimation; signal sampling; ARMA model state-space formulation; continuous-time autoregressive moving-average system; irregularly sampled Cramer-Rao bound; nonuniformly sampled data; parameter estimation; parameter identification; signal processing; Accuracy; Computed tomography; Covariance matrix; Nonuniform sampling; Parameter estimation; Sampling methods; Signal processing; Signal sampling; Statistics; System identification;
Journal_Title :
Signal Processing Letters, IEEE
DOI :
10.1109/LSP.2003.821743
