Frequency-domain identification of continuous-time ARMA models from sampled data [Elektronisk resurs] / Jonas Gillberg, Lennart Ljung
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Gillberg, Jonas 1975- (författare)
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Ljung, Lennart, 1946- (författare)
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- Linköpings universitet. Institutionen för systemteknik (utgivare)
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Alternativt namn: ISY
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Alternativt namn: Engelska: Linköping University. Department of Electrical Engineering
- Linköping : Linköping University Electronic Press, 2009
- Engelska 14 s.
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Serie: LiTH-ISY-R, 1400-3902 ; 2905
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Läs hela texten (Sammanfattning och fulltext från Linköping University Electronic Press)
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- The subject of this paper is the direct identification of continuous-time autoregressive moving average (CARMA) models. The topic is viewed from the frequency domain perspective which then turns the reconstruction of the continuous-time power spectral density (CT-PSD) into a key issue. The first part of the paper therefore concerns the approximate estimation of the CT-PSD from uniformly sampled data under the assumption that the model has a certain relative degree. The approach has its point of origin in the frequency domain Whittle likelihood estimator. The discrete- or continuous-time spectral densities are estimated from equidistant samples of the output. For low sampling rates the discrete-time spectral density is modeled directly by its continuous-time spectral density using the Poisson summation formula. In the case of rapid sampling the continuous-time spectral density is estimated directly by modifying its discrete-time counterpart.
Indexterm och SAB-rubrik
- System identification Time-series analysis Frequency domains Continuous time systems ARMA parameter estimation
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