Frequency-Domain Identification of Continuous-Time ARMA Models from Sampled Data
2004 (English)Report (Other academic)
This paper treats identification of continuous-time output error (OE) models based on sampled data. The exact method for doing this is well known both for data given in the time and frequency domains. This approach becomes some-what complex, especially for non-uniformly sampled data. We study various ways to approximate the exact method for reasonably fast sampling. While an objective is to gain insights into the non-uniform sampling case, this paper only gives explicit results for uniform sampling.
Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2004. , 10 p.
LiTH-ISY-R, ISSN 1400-3902 ; 2642
Continuous-time systems, Parameter estimation, Continuous-time ARMA, Noise model, Whittle likelihood estimator
IdentifiersURN: urn:nbn:se:liu:diva-56029ISRN: LiTH-ISY-R-2642OAI: oai:DiVA.org:liu-56029DiVA: diva2:316915