Title :
Analysis of a covariance matching method for continuous-time errors-in-variables identification
Author :
Mossberg, Magnus
Author_Institution :
Karlstad Univ., Karlstad
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;
Conference_Titel :
Decision and Control, 2007 46th IEEE Conference on
Conference_Location :
New Orleans, LA
Print_ISBN :
978-1-4244-1497-0
Electronic_ISBN :
0191-2216
DOI :
10.1109/CDC.2007.4434728
