• DocumentCode
    867417
  • 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
  • Volume
    11
  • Issue
    2
  • fYear
    2004
  • Firstpage
    197
  • Lastpage
    200
  • 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;
  • fLanguage
    English
  • Journal_Title
    Signal Processing Letters, IEEE
  • Publisher
    ieee
  • ISSN
    1070-9908
  • Type

    jour

  • DOI
    10.1109/LSP.2003.821743
  • Filename
    1261978
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=867417