DocumentCode
2826933
Title
Analysis of a covariance matching method for continuous-time errors-in-variables identification
Author
Mossberg, Magnus
Author_Institution
Karlstad Univ., Karlstad
fYear
2007
fDate
12-14 Dec. 2007
Firstpage
5511
Lastpage
5515
Abstract
A covariance matching method for continuous-time errors-in-variables identification is analyzed. The method consists of fitting covariance and cross-covariance functions, parameterized by the unknown parameters, to covariance and cross-covariance functions estimated from discrete-time data. An expression for the asymptotic covariance matrix of the estimated parameter vector is given. The derived asymptotic covariance matrix can be used as an important tool for studying the properties of the estimation method.
Keywords
continuous time systems; covariance matrices; identification; asymptotic covariance matrix; continuous-time errors-in-variables identification; covariance functions; covariance matching method; cross-covariance functions; Covariance matrix; Error analysis; Error correction; Parameter estimation; State estimation; State-space methods; Stochastic processes; USA Councils; White noise;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2007 46th IEEE Conference on
Conference_Location
New Orleans, LA
ISSN
0191-2216
Print_ISBN
978-1-4244-1497-0
Electronic_ISBN
0191-2216
Type
conf
DOI
10.1109/CDC.2007.4434728
Filename
4434728
Link To Document