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Spectral density based estimation of continuous-time ARMAX process parameters
Karlstads universitet, Fakulteten för teknik- och naturvetenskap, Avdelningen för fysik och elektroteknik.
2012 (engelsk)Inngår i: Asian journal of control, ISSN 1561-8625, E-ISSN 1561-8625, Vol. 14, nr 2, s. 548-552Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

The continuous-time ARMAX model is a standard model that can be used for describing continuous-time stochastic dynamic systems for control purposes. In this note, the problem of estimating the parameters in such a model from discrete-time data is considered. In the proposed solution, the parameters in the denominator polynomial are estimated using a continuous-time Yule-Walker equation. Thereafter, the parameters in the numerator polynomials are estimated using an approach based on the spectral density of the output signal and regularized least squares. The method is sub-optimal but easy to apply and the given estimates can be used directly or as initial values for the maximum likelihood method

sted, utgiver, år, opplag, sider
Malden, MA: John Wiley & Sons, 2012. Vol. 14, nr 2, s. 548-552
Emneord [en]
Estimation, continuous-time ARMAX process; continuous-time Yule-Walker equation;spectral density; regularized least squares
HSV kategori
Forskningsprogram
Matematik
Identifikatorer
URN: urn:nbn:se:kau:diva-16066DOI: 10.1002/asjc.338ISI: 000301897100020OAI: oai:DiVA.org:kau-16066DiVA, id: diva2:573725
Tilgjengelig fra: 2012-12-03 Laget: 2012-12-03 Sist oppdatert: 2018-07-19bibliografisk kontrollert

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