The Cramér-Rao bound for estimation of continuous-time ARX parameters from irregularly sampled data

Authors:	Larsson Erik K, Uppsala University, Sweden Mossberg Magnus, Karlstad University, Sweden Söderström Torsten, Uppsala University, Sweden
Topic:	1.1 Modelling, Identification & Signal Processing
Session:	Continuous Time System Identification
Keywords:	Cramér-Rao bound; Estimation; Continuous-time ARX parameters; Irregular sampling

Abstract

The Cramér-Rao bound for estimation of parameters in continuous-time ARX models from irregularly sampled data is computed. In the derivation, the Slepian-Bangs formula is used together with a state space framework, resulting in a closed form expression for the Cramér-Rao bound.