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Frequency-Domain Identification of Continuous-Time ARMA Models from Sampled Data
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology. IPCOSAptitude Ltd, United Kingdom.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2010 (English)Report (Other academic)
Abstract [en]

The subject of this paper is the direct identification of continuous-time autoregressive moving average (CARMA) models. The topic is viewed from the frequency domain perspective which then turns the reconstruction of the continuous-time power spectral density (CT-PSD) into a key issue. The first part of the paper therefore concerns the approximate estimation of the CT-PSD from uniformly sampled data under the assumption that the model has a certain relative degree. The approach has its point of origin in the frequency domain Whittle likelihood estimator. The discrete- or continuous-time spectral densities are estimated from equidistant samples of the output. For low sampling rates the discrete-time spectral density is modeled directly by its continuous-time spectral density using the Poisson summation formula. In the case of rapid sampling the continuous-time spectral density is estimated directly by modifying its discrete-time counterpart.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2010. , 12 p.
Series
LiTH-ISY-R, ISSN 1400-3902 ; 2983
Keyword [en]
System identification Time-series analysis Frequency domains Continuous time systems ARMA parameter estimation
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-97737ISRN: LiTH-ISY-R-2983OAI: oai:DiVA.org:liu-97737DiVA: diva2:650654
Available from: 2013-09-23 Created: 2013-09-23 Last updated: 2014-06-17Bibliographically approved

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Gillberg, JonasLjung, Lennart

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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
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