Continuous-Time Noise Modelling from Sampled Data

Most stochastic processes in engineering applications have an intrinsic continuous-time nature. Think, for example, of the noise generated by resistors and semiconductor devices. A few methods exist that identify continuous-time noise models from sampled data. In this paper, we introduce a method based on the concept of filtered band limited white noise, make an in depth analysis of the basic assumptions made by the different approaches, and discuss the pros and cons of each method. The method is particularly highlighted and illustrated on real measurements