An efficient order recursive algorithm with a lattice structure for estimating continuous-time AR process parameters

DOI10.1016/S0005-1098(96)00161-6MaRDI QIDQ1356129zbMATH OpenOpenAlexFDO

Authors Howard Fan

Publication date 7 July 1997

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0005-1098(96)00161-6

zbMATH Keywords

AR process identificationlattice structurenormal equationorder recursive algorithm

Mathematics Subject Classification ID

System identification (93B30) Identification in stochastic control theory (93E12)

Review text

The paper is devoted to the normal equation in estimating continuous-time AR process parameters. An order recursive algorithm is proposed which requires \(O(M^2)\) computations, where \(M\) is the order of the AR process, and therefore is computationally efficient. It is similar to the Levinson-type algorithm of Pham and Le Breton. The proposed algorithm however, has a new associated lattice structure. As a consequence, it has a new stability property for continuous time systems. This can be viewed as a continuous time pendant that is recursive-in-order to the well-known discrete-time version. The discrete-time approximation, when sampled-data are given, and connections with other algorithms are also discussed.

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Cited in

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• scientific article; zbMATH DE number 38947 (Why is no real title available?)

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