Identification of continuous-time AR processes from unevenly sampled data

DOI10.1016/S0005-1098(01)00244-8MaRDI QIDQ1613177zbMATH OpenOpenAlexFDO

Authors Erik K. Larsson, Torsten Söderström

Publication date 5 September 2002

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0005-1098(01)00244-8

zbMATH Keywords

autoregressive processconsistent estimatesleast-squares methodssampled datasystem identificationuneven sampling

Mathematics Subject Classification ID

System identification (93B30) Sampled-data control/observation systems (93C57) Least squares and related methods for stochastic control systems (93E24)

Review text

The objective of this paper is the identification of continuous-time AR systems from discrete-time data, where data are observed unevenly in time. The authors do not use consistent and statistically efficient maximum likelihood prediction error methods because they involve great computational complexity. A direct approach is chosen in which the derivatives are substituted by a discrete-time difference operator, for example by replacing differentiation by a delta operator. Two least-squares methods are introduced. They give consistent estimates for the posed problem. Consistency means that the estimated parameters tend to the true ones as the number of data goes to infinity and the sampling intervals approach zero.

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Cited in

(17)

• Frequency-domain identification of continuous-time ARMA models from sampled data
• On the indirect approaches for CARMA model identification
• Fuzzy modeling of non-uniformly sampling nonlinear systems based on clustering method and convergence analysis
• Estimation of continuous-time AR process parameters from discrete-time data
• Kalman filter-based identification for systems with randomly missing measurements in a network environment
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• Least squares parameter estimation of continuous-time ARX models from discrete-time data
• High-Accuracy Instrumental Variable Identification of Continuous-Time Autoregressive Processes From Irregularly Sampled Noisy Data
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• Identification of linear continuous-time systems under irregular and random output sampling
• On a state-space modelling for functional data

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