THE CRAMÉR-RAO BOUND FOR ESTIMATION OF CONTINUOUS-TIME ARX PARAMETERS FROM IRREGULARLY SAMPLED DATA

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.