Estimation of continuous-time AR process parameters from discrete-time data

DOI10.1109/78.757211MaRDI QIDQ2723617zbMATH OpenOpenAlexFDO

Authors Bengt Carlsson, Y. Zou, Howard Fan, Torsten Söderström, Magnus Mossberg

Publication date 8 July 2001

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/78.757211

zbMATH Keywords

identificationlinear regressionCAR modelscontinuous-time time seriesdiscrete-time differences

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Recommendations

• Least squares parameter estimation of continuous-time ARX models from discrete-time data
• Estimation of continuous-time autoregressive model from finely sampled data
• YULE‐WALKER ESTIMATES FOR CONTINUOUS‐TIME AUTOREGRESSIVE MODELS
• scientific article; zbMATH DE number 1790547
• Identification of continuous-time AR processes from unevenly sampled data

Cited in

(23)

• A test for independence between a point process and an analogue signal
• An overview of important practical aspects of continuous-time ARMA system identification
• Discrete-valued ARMA processes
• Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
• Modeling continuous-time processes via input-to-state filters
• Band-Limited Stochastic Processes in Discrete and Continuous Time
• Box-Jenkins identification revisited. I: Theory
• Filling the gap between Continuous and Discrete Time Dynamics of Autoregressive Processes
• Estimation of continuous-time autoregressive model from finely sampled data
• Modal identification of system driven by Lévy random excitation based on continuous time AR model
• YULE‐WALKER ESTIMATES FOR CONTINUOUS‐TIME AUTOREGRESSIVE MODELS
• On parameter estimation in population models
• A new least-squares approach to differintegration modeling
• An iterative Kalman smoother/least-squares algorithm for the identification of delta-ARX models
• Continuous-time AR process parameter estimation in presence of additive white noise
• Identification of continuous-time AR processes from unevenly sampled data
• Modelling and identification of nonlinear deterministic systems in the delta-domain
• DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
• Identification of piecewise linear dynamical systems using physically-interpretable neural-fuzzy networks: methods and applications to origami structures
• Bias-compensating least squares method for identification of continuous-time systems from sampled data
• scientific article; zbMATH DE number 1790547 (Why is no real title available?)
• scientific article; zbMATH DE number 4215089 (Why is no real title available?)
• Predictive control of fast-sampled systems using the delta-operator

This page was built for publication: Estimation of continuous-time AR process parameters from discrete-time data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2723617)