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In many practical parameter estimation problems,
such as coefficient estimation of polynomial regression, the true
model is unknown and thus, a model selection step is performed
prior to estimation. The data-based model selection step affects
the subsequent estimation. In particular, the oracle Cramér-Rao
bound (CRB), which is based on knowledge of the true model, is
inappropriate for post-model-selection performance analysis and
system design outside the asymptotic region. In this paper, we
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