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Cramer-Rao bounds for continuous-time AR parameter estimation with irregular sampling

Consider the problem of estimating the parameters in a continuous-time autoregressive (AR) model given measurements taken at arbitrary time instants. In this paper the Cramer-Rao bound for this problem is derived by using a technique based on the Slepian-Bang's formula and residue calculus. Furthermore, we investigate by means of numerical experiments how different sampling schemes can affect the accuracy. Interestingly enough, however, for the examples studied, the estimation accuracy is relatively insensitive to the choice of sampling strategy.