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The CRB for Parameter Estimation in IrregularlySampled Continuous-Time ARMA Systems
Department of Systems of Control, Uppsala University, Sweden.
Department of Electrical and Computer Engineering, The George Washington University, USA.ORCID iD: 0000-0002-7599-4367
2004 (English)In: IEEE Signal Processing Letters, ISSN 1070-9908, E-ISSN 1558-2361, Vol. 11, no 2, 197-200 p.Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
2004. Vol. 11, no 2, 197-200 p.
National Category
Engineering and Technology
URN: urn:nbn:se:liu:diva-77037DOI: 10.1109/LSP.2003.821743OAI: diva2:524653
Available from: 2012-05-03 Created: 2012-05-03 Last updated: 2016-08-31Bibliographically approved

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Larsson, Erik G.
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IEEE Signal Processing Letters
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