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The Cramer-Rao Bound for Continuous-Time Autoregressive Parameter Estimation with Irregular Sampling
Department of Electrical and Computer Engineering, University of Florida, USA.
Department of Systems and Control, Uppsala University, Sweden.
2002 (English)In: Circuits, systems, and signal processing, ISSN 0278-081X, E-ISSN 1531-5878, Vol. 21, no 6, 581-601 p.Article in journal (Refereed) Published
Abstract [en]

We consider the problem of estimating the parameters in a continuous-time autoregressive model given measurements taken at arbitrary time instants. This problem is of importance in applications ranging from time-series analysis to automatic control. We derive the Cramer-Rao bound (CRB) for this estimation problem by using a technique based on the Slepian-Bang's formula and residue calculus. Furthermore, we investigate by means of numerical experiments how different sampling schemes can affect the achievable estimation accuracy. We demonstrate that the achievable estimation accuracy is relatively insensitive to the choice of sampling strategy, even though it is generally not identical for different sampling schemes. This observation is also in line with recent results on parameter estimation for polynomial-phase signals. Finally, we discuss the asymptotic properties ofthe CRB.

Place, publisher, year, edition, pages
2002. Vol. 21, no 6, 581-601 p.
National Category
Engineering and Technology
URN: urn:nbn:se:liu:diva-77066DOI: 10.1007/s00034-002-0805-6OAI: diva2:524790
Available from: 2012-05-03 Created: 2012-05-03 Last updated: 2012-05-11Bibliographically approved

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Larsson, Erik G.
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