The CRB for parameter estimation in irregularly sampled continuous-time ARMA systems

摘要

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.