Title :
Identification of continuous-time ARX models using sample cross-covariances
Author :
Mossberg, Magnus
Author_Institution :
Dept. of Electr. Eng., Karlstad Univ., Sweden
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;
Conference_Titel :
American Control Conference, 2005. Proceedings of the 2005
Print_ISBN :
0-7803-9098-9
Electronic_ISBN :
0743-1619
DOI :
10.1109/ACC.2005.1470749
