Frequency-Domain Identification of Continuous-Time ARMA Models from Non-Uniformly Sampled Data
2005 (English)Report (Other academic)
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.
Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2005. , 12 p.
LiTH-ISY-R, ISSN 1400-3902 ; 2693
Continuous-time systems, Parameter estimation, Continuous-time ARMA, CARMA, Continuous-time noise model, Whittle likelihood estimation
IdentifiersURN: urn:nbn:se:liu:diva-56027ISRN: LiTH-ISY-R-2693OAI: oai:DiVA.org:liu-56027DiVA: diva2:316917