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Gillberg, Jonas1975-(författare)
Frequency-domain identification of continuous-time ARMA models from non-uniformly sampled data [Elektronisk resurs] /Jonas Gillberg, Lennart Ljung
Förlag, utgivningsår, omfång ...
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Linköping :Linköpings universitet,2005
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12 s.
Nummerbeteckningar
Serie
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LiTH-ISY-R,1400-3902 ;2693
Anmärkningar
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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.
Ämnesord och genrebeteckningar
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Continuous-time systems
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Parameter estimation
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Continuous-time ARMA
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CARMA
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Continuous-time noise model
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Whittle likelihood estimation
Biuppslag (personer, institutioner, konferenser, titlar ...)
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Ljung, Lennart,1946-(författare)
Sammanhörande titlar
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Annan version:Gillberg, JonasFrequency-domain identification of continuous-time ARMA models from non-uniformly sampled data2005
Seriebiuppslag
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LiTH-ISY-R,1400-3902 ;2693
Internetlänk
Länkade data-URI:er (test)
- 278519 (Gillberg, Jonas 1975-)
- 369235 (Ljung, Lennart, 1946-)
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