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

DOI10.1109/78.757211zbMath0967.62064OpenAlexW2101352054MaRDI QIDQ2723617

Yuanjie Zou, Bengt Carlsson, Magnus Mossberg, Howard Fan, Torsten Söderström

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)

Related Items

An iterative Kalman smoother/least-squares algorithm for the identification of delta-ARX models, Box-Jenkins identification revisited. I: Theory, Modeling continuous-time processes via input-to-state filters, On parameter estimation in population models, Identification of piecewise linear dynamical systems using physically-interpretable neural-fuzzy networks: methods and applications to origami structures, Modal identification of system driven by Lévy random excitation based on continuous time AR model, A test for independence between a point process and an analogue signal, Modelling and identification of nonlinear deterministic systems in the delta-domain, Predictive control of fast-sampled systems using the delta-operator