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

DOI10.1007/S00034-002-0805-6zbMath1028.93030OpenAlexW1974487166MaRDI QIDQ1862861

Erik K. Larsson, Erik G. Larsson

Publication date: 22 January 2004

Published in: Circuits, Systems, and Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00034-002-0805-6

zbMATH Keywords

parameter estimationCramér-Rao boundirregular samplingresidue calculusnonuniform samplingestimation accuracycontinuous-time autoregressive modelSlepian-Bang's formula

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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