The Cramér-Rao bound for continuous-time autoregressive parameter estimation with irregular sampling (Q1862861)

This paper deals with the problem of estimating the parameters in a continuous-time autoregressive model with given measurements taken at arbitrary time instants. The Cramér-Rao bound (CRB) for this estimation problem is obtained by using a technique based on the Slepian-Bang formula and residue calculus. Numerical experiments are developed to show how different sampling schemes can affect the achievable estimation accuracy. The achievable estimation accuracy is relatively insensitive to the choice of the sampling strategy. The asymptotic properties of the CRB are also discussed.