Change search
ReferencesLink to record
Permanent link

Direct link
Variance analysis of a cross-covariance matching method for continuous-time ARX parameter estimation
Karlstad University, Faculty of Technology and Science, Department of Physics and Electrical Engineering.
2008 (English)In: IEEE Transactions on Automatic Control, ISSN 0018-9286, E-ISSN 1558-2523, Vol. 53, no 4, 1072-1076 p.Article in journal (Refereed) Published
Abstract [en]

A method for estimating the parameters of a continuous-time autoregressive exogenous process from discrete-time data is analyzed. The method consists of fitting an expression for the cross-covariance function, parameterized by the unknown parameters, to sample cross-covariances. The main contribution of the note is the derivation of an approximate expression for the covariance matrix of the estimated parameter vector.

Place, publisher, year, edition, pages
2008. Vol. 53, no 4, 1072-1076 p.
National Category
Electrical Engineering, Electronic Engineering, Information Engineering
Research subject
Electrical Engineering
Identifiers
URN: urn:nbn:se:kau:diva-25472DOI: 10.1109/TAC.2008.919554OAI: oai:DiVA.org:kau-25472DiVA: diva2:599250
Available from: 2013-01-22 Created: 2013-01-22 Last updated: 2013-10-23Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full text

Search in DiVA

By author/editor
Mossberg, Magnus
By organisation
Department of Physics and Electrical Engineering
In the same journal
IEEE Transactions on Automatic Control
Electrical Engineering, Electronic Engineering, Information Engineering

Search outside of DiVA

GoogleGoogle Scholar

Altmetric score

Total: 18 hits
ReferencesLink to record
Permanent link

Direct link