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The CRB for parameter estimation in irregularly sampled continuous-time ARMA system
Dept. of Systems of Control, Uppsala University, Sweden.
Dept. of ECE, The George Washington University, USA.ORCID iD: 0000-0002-7599-4367
2003 (English)In: Proc. of IEEE International Symposium on Signal Processing and Information Technology, (Darmstadt, Germany), Dec. 2003, 2003, 110-113 p.Conference paper, Published paper (Refereed)
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 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.

Place, publisher, year, edition, pages
2003. 110-113 p.
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:liu:diva-77283DOI: 10.1109/ISSPIT.2003.1341072ISBN: 0-7803-8292-7 (print)OAI: oai:DiVA.org:liu-77283DiVA: diva2:526199
Available from: 2012-05-10 Created: 2012-05-10 Last updated: 2016-08-31Bibliographically approved

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Larsson, Erik G.

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
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  • de-DE
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  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
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Output format
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  • asciidoc
  • rtf