Least squares parameter estimation of continuous-time ARX models from discrete-time data

IEEE Transactions on Automatic Control

Volumn 42, Issue 5, 1997, Pages 659-673

  Söderström, Torsten ^a,b   Fan, H ^a,c   Carlsson, Bengt ^a,b   Bigi, Stefano ^b  

^a IEEE   (Sweden)

^b UPPSALA UNIVERSITY   (Sweden)

^c 705 Engineering Research Center   (United States)

Author keywords

Autoregressive processes; Bias compensation; Continuous time stochastic models; Derivative approximation; Least squares method; Linear regression; Time series

Indexed keywords

CONTROL THEORY; DISCRETE TIME CONTROL SYSTEMS; ERROR ANALYSIS; IDENTIFICATION (CONTROL SYSTEMS); KALMAN FILTERING; LEAST SQUARES APPROXIMATIONS; MATHEMATICAL MODELS; OPTIMIZATION; REGRESSION ANALYSIS; SAMPLING; STATE ESTIMATION; TIME SERIES ANALYSIS;

AUTOREGRESSIVE MOVING AVERAGE MODEL; DERIVATIVE APPROXIMATION; LEAST SQUARES METHOD; PREDICTION ERROR METHOD; YULE-WALKER METHOD;

PARAMETER ESTIMATION;

EID: 0031139206     PISSN: 00189286     EISSN: None     Source Type: Journal    
DOI: 10.1109/9.580871     Document Type: Article

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