Frequency-domain identification of continuous-time ARMA models from non-uniformly sampled data [Elektronisk resurs] / Jonas Gillberg, Lennart Ljung
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Gillberg, Jonas 1975- (författare)
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Ljung, Lennart, 1946- (författare)
- Linköping : Linköpings universitet, 2005
- Engelska 12 s.
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Serie: LiTH-ISY-R, 1400-3902 ; 2693
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Läs hela texten (Sammanfattning och fulltext från Linköping University Electronic Press)
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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.
Indexterm och SAB-rubrik
- Continuous-time systems
- Parameter estimation
- Continuous-time ARMA
- CARMA
- Continuous-time noise model
- Whittle likelihood estimation
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