Frequency-domain identification of continuous-time ARMA models from non-uniformly sampled data [Elektronisk resurs] /Jonas Gillberg, Lennart Ljung

This paper treats direct identification of continuous-time autoregressive moving average (CARMA) time-series models. The main result is a method for estimating the continuous-time power spectral density fromnon-uniformly sampled data. It is based on the interpolation (smoothing) using the Kalman filter. A deeper analysis is also carried out for the case of uniformly sampled data. This analysis provides a basis for proceeding with the non-uniform case. Numerical examples illustrating the performance of the method are also provided both, for spectral and subsequent parameter estimation.

Annan version:Gillberg, JonasFrequency-domain identification of continuous-time ARMA models from non-uniformly sampled data2005

http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-56027Sammanfattning och fulltext från Linköping University Electronic Press

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