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. 

Indexterm och SAB-rubrik

Continuous-time systems

Parameter estimation

Continuous-time ARMA

CARMA

Continuous-time noise model

Whittle likelihood estimation