DocumentCode
3050498
Title
Nonstationary stochastic realization and single sample identification
Author
Benveniste, A. ; Fuchs, J.-J.
Author_Institution
IRISA/INRIA, Rennes C??dex, France
fYear
1983
fDate
- Dec. 1983
Firstpage
311
Lastpage
316
Abstract
Gauss-Markov processes excited by nonstationary noises are encountered in the modelling of vibrating systems. We prove that the classical Instrumental Variable method, as well as the Ho-Kalman realization algorithm, for identifying the pole part (modal characteristics) of the model, are consistent when used on a single sample of the (nonstationary) signal.
Keywords
Econometrics; Functional analysis; Gaussian processes; Instruments; Signal analysis; Signal processing; Stochastic processes; Stochastic resonance; Stochastic systems; White noise;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1983. The 22nd IEEE Conference on
Conference_Location
San Antonio, TX, USA
Type
conf
DOI
10.1109/CDC.1983.269850
Filename
4047556
Link To Document