Spectral density based estimation of continuous‐time ARMAX process parameters

DOI10.1002/asjc.338zbMath1286.93170OpenAlexW1802331217MaRDI QIDQ5416946

Magnus Mossberg

Publication date: 15 May 2014

Published in: Asian Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asjc.338

zbMATH Keywords

estimationspectral densityregularized least squarescontinuous-time ARMAX processcontinuous-time Yule-Walker equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24) Identification in stochastic control theory (93E12)

Cites Work

• Maximum likelihood and prediction error methods
• High-Accuracy Instrumental Variable Identification of Continuous-Time Autoregressive Processes From Irregularly Sampled Noisy Data
• Variance Analysis of a Cross-Covariance Matching Method for Continuous-Time ARX Parameter Estimation
• Identification of Continuous-Time ARX Models From Irregularly Sampled Data

This page was built for publication: Spectral density based estimation of continuous‐time ARMAX process parameters