Frequency-Domain Identification of Continuous-Time Output Error Models from Non-Uniformly Sampled Data
2006 (English)In: Proceedings of the 14th IFAC Symposium on System Identification, 2006, 214-218 p.Conference paper (Refereed)
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 from non-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 sample ddata. 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
2006. 214-218 p.
Countinuous-time systems, Parameter estimation, Continuous-time OE, Splines
IdentifiersURN: urn:nbn:se:liu:diva-89252DOI: 10.3182/20060329-3-AU-2901.00028ISBN: 978-3-902661-02-9OAI: oai:DiVA.org:liu-89252DiVA: diva2:607814
14th IFAC Symposium on System Identification, Newcastle, Australia, March, 2006