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Frequency-Domain Identification of Continuous-Time Output Error Models from Non-Uniformly Sampled Data
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2006 (English)In: Proceedings of the 14th IFAC Symposium on System Identification, 2006, 214-218 p.Conference paper, Published paper (Refereed)
Abstract [en]

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.
Keyword [en]
Countinuous-time systems, Parameter estimation, Continuous-time OE, Splines
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-89252DOI: 10.3182/20060329-3-AU-2901.00028ISBN: 978-3-902661-02-9 (print)OAI: oai:DiVA.org:liu-89252DiVA: diva2:607814
Conference
14th IFAC Symposium on System Identification, Newcastle, Australia, March, 2006
Available from: 2013-02-25 Created: 2013-02-25 Last updated: 2013-08-30

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Ljung, LennartGillberg, Jonas

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  • nn-NB
  • sv-SE
  • Other locale
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Output format
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