Spectral density based estimation of continuous-time ARMAX process parameters

DOI10.1002/ASJC.338MaRDI QIDQ5416946zbMATH OpenOpenAlexFDO

Authors 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) Identification in stochastic control theory (93E12) Least squares and related methods for stochastic control systems (93E24)

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Cites work

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

Cited in

(1)

• A bootstrap-based approach for parameter and polyspectral density estimation of a non-minimum phase ARMA process

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