Cramer-Rao bounds for continuous-time AR parameter estimation with irregular sampling
2001 (English)In: Proc. of IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), 2001. vol. 5, 2001, 3097-3100 p.Conference paper (Refereed)
Consider the problem of estimating the parameters in a continuous-time autoregressive (AR) model given measurements taken at arbitrary time instants. In this paper the Cramer-Rao bound for this problem is derived 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 accuracy. Interestingly enough, however, for the examples studied, the estimation accuracy is relatively insensitive to the choice of sampling strategy.
Place, publisher, year, edition, pages
2001. 3097-3100 p.
Engineering and Technology
IdentifiersURN: urn:nbn:se:liu:diva-77409DOI: 10.1109/ICASSP.2001.940313ISBN: 0-7803-7041-4OAI: oai:DiVA.org:liu-77409DiVA: diva2:526750
2001 IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP '01), 07-11 May 2001, Salt Lake City, UT, USA