Performance analysis of some methods for identifying continuous-time autoregressive processes

European Signal Processing Conference

Volumn 1998-January, Issue , 1998, Pages

  Söderström, Torsten ^a   Mossberg, Magnus ^a  

^a UPPSALA UNIVERSITY   (Sweden)

Author keywords

[No Author keywords available]

Indexed keywords

COVARIANCE MATRIX; ESTIMATION; LEAST SQUARES APPROXIMATIONS; RANDOM PROCESSES; SIGNAL PROCESSING;

ASYMPTOTIC DISTRIBUTIONS; CONTINUOUS-TIME AUTOREGRESSIVE PROCESS; DISCRETE-TIME DATA; INSTRUMENTAL VARIABLES; LINEAR ESTIMATORS; PARAMETER ESTIMATE; PERFORMANCE ANALYSIS; STATISTICAL PROPERTIES;

CONTINUOUS TIME SYSTEMS;

EID: 25344447032     PISSN: 22195491     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (10)

1. K. J. Aström. Introduction to Stochastic Control Theory. Academic Press, New York, NY, 1970.
2. S. Bigi, T. Söderström, and B. Carlsson. An IV scheme for estimating continuous-time stochastic models from discrete-time data. In Proc. 10th IFAC Symp. System Identification, volume 3, pages 645-650, Copenhagen, Denmark, July 4-6 1994.
3. A. Feuer and G. C. Goodwin. Sampling in Digital Signal Processing and Control. Birkhäuser, Boston, Mass, 1996.
4. T. Söderström. Discrete-Time Stochastic Systems: Estimation and Control. Prentice-Hall International, Hemel Hempstead, United Kingdom, 1994.
5. T. Söderström, H. Fan, B. Carlsson, and S. Bigi. Least squares parameter esimation of continuous-time ARX models from discrete-time data. IEEE Trans, on Automatic Control, AC-42:659-673, May 1997.
6. T. Söderström, H. Fan, M. Mossberg, and B. Carlsson. Bias-compensation schemes for estimating continuous-time AR process parameters. In Proc. 11th IFAC Symp. System Identification, volume 3, pages 1337-1342, Ki-takyushu, Japan, July 8-11 1997.
7. T. Söderström and M. Mossberg. The accuracy of least squares estimates of continuous-time autoregressive parameters. Technical Report UPTEC 98001R, Systems and Control Group, Uppsala Univ., Uppsala, Sweden April 1998.
8. T. Söderström and M. Mossberg. Performance evaluation of methods for identifying continuous-time autoregressive processes. In preparation, 1998.
9. H. Unbehauen and G. P. Rao. Identificationoi continuous-time systems - a tutorial. In Proc. 11th IFAC Symp. System Identification, volume 3, pages 10231049, Kitakyushu, Japan, July 8-11 1997.
10. Z.-Y. Zhao, S. Sagara, and M. Tomizuka. A new bias-compensating Is method for continuous system identification in the presence of colored noise. Int. J. Control 56(6):1441-1452, 1992.