Title :
Variance Analysis of a Cross-Covariance Matching Method for Continuous-Time ARX Parameter Estimation
Author :
Mossberg, Magnus
Author_Institution :
Dept. of Electr. Eng., Karlstad Univ., Karlstad
fDate :
5/1/2008 12:00:00 AM
Abstract :
A method for estimating the parameters of a continuous-time autoregressive exogenous process from discrete-time data is analyzed. The method consists of fitting an expression for the cross-covariance function, parameterized by the unknown parameters, to sample cross-covariances. The main contribution of the note is the derivation of an approximate expression for the covariance matrix of the estimated parameter vector.
Keywords :
autoregressive processes; continuous time systems; covariance analysis; discrete time systems; parameter estimation; autoregressive exogenous process; continuous-time ARX parameter estimation; cross-covariance matching method; discrete-time data; variance analysis; Analysis of variance; Control design; Covariance matrix; Data analysis; Least squares approximation; Noise measurement; Parameter estimation; Sampling methods; State-space methods; Stochastic systems; Continuous-time ARX; covariance matrix; cross-covariance function; estimation;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.2008.919554
