Estimation of continuous-time autoregressive model from finely sampled data

DOI10.1109/78.863060MaRDI QIDQ2734394zbMATH OpenOpenAlexFDO

Authors Tuan D. Pham

Publication date 13 December 2001

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

Full work available at URL https://doi.org/10.1109/78.863060

zbMATH Keywords

autoregressive polynomialbias correctioncontinuous-time autoregressive modelLevinson-Durbin algorithmmaximum likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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(11)

• Autoregression and irregular sampling: filtering.
• Identification of continuous-time AR processes from unevenly sampled data
• The Cramér-Rao bound for continuous-time autoregressive parameter estimation with irregular sampling
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• Estimation of continuous-time AR process parameters from discrete-time data
• Subspace-based continuous-time identification of fractional order systems from non-uniformly sampled data
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• YULE‐WALKER ESTIMATES FOR CONTINUOUS‐TIME AUTOREGRESSIVE MODELS
• A generalization of the ARIMA model to the nonlinear and continuous cases

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