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Spectral density based estimation of continuous-time ARMAX process parameters
Karlstad University, Faculty of Technology and Science, Department of Physics and Electrical Engineering.
2012 (English)In: Asian journal of control, ISSN 1561-8625, Vol. 14, no 2, 548-552 p.Article in journal (Refereed) 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

Place, publisher, year, edition, pages
Malden, MA: John Wiley & Sons, 2012. Vol. 14, no 2, 548-552 p.
Keyword [en]
Estimation, continuous-time ARMAX process; continuous-time Yule-Walker equation;spectral density; regularized least squares
National Category
Engineering and Technology
Research subject
Mathematics
Identifiers
URN: urn:nbn:se:kau:diva-16066DOI: 10.1002/asjc.338ISI: 000301897100020OAI: oai:DiVA.org:kau-16066DiVA: diva2:573725
Available from: 2012-12-03 Created: 2012-12-03 Last updated: 2012-12-06Bibliographically approved

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Publisher's full texthttp://onlinelibrary.wiley.com/doi/10.1002/asjc.338/abstract;jsessionid=48BFA734805BCBBBA82A588E452EF745.d03t02?systemMessage=Wiley+Online+Library+will+be+disrupted+on+15+December+from+10%3A00-12%3A00+GMT+%2805%3A00-07%3A00+EST%29+for+essential+maintenance

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CiteExportLink to record
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Citation style
  • apa
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  • vancouver
  • Other style
More styles
Language
  • de-DE
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  • nn-NB
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  • Other locale
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Output format
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