DocumentCode
3551281
Title
Identification of continuous-time ARX models using sample cross-covariances
Author
Mossberg, Magnus
Author_Institution
Dept. of Electr. Eng., Karlstad Univ., Sweden
fYear
2005
fDate
8-10 June 2005
Firstpage
4766
Abstract
The problem of estimating the parameters of a continuous-time ARX (CARX) process from discrete-time data is studied. In the proposed solution, an expression for the cross-covariance function between the input and the output signal of the CARX process is derived. This expression is parameterized by the unknown and searched parameters. The parameters are estimated by fitting the theoretical expression for the cross-covariance function to sample cross-covariances.
Keywords
autoregressive processes; continuous time systems; covariance matrices; discrete time systems; identification; parameter estimation; poles and zeros; CARX process; continuous-time ARX models; cross-covariance function; discrete-time data; parameter estimation; sample cross-covariances; Control design; Least squares approximation; Linear regression; Mathematical model; Parameter estimation; Sampling methods; Signal processing; Stochastic systems; Vectors; White noise;
fLanguage
English
Publisher
ieee
Conference_Titel
American Control Conference, 2005. Proceedings of the 2005
ISSN
0743-1619
Print_ISBN
0-7803-9098-9
Electronic_ISBN
0743-1619
Type
conf
DOI
10.1109/ACC.2005.1470749
Filename
1470749
Link To Document