Title :
Sequential estimation of stochastic continuous-time signals from sample covariances
Author :
Mossberg, Magnus
Author_Institution :
Dept. of Electr. Eng., Karlstad Univ., Sweden
Abstract :
A method for sequential estimation of stochastic continuous-time signal parameters is presented. The parameters are estimated by fitting the covariance function of the continuous-time process to sample covariances from discrete-time data in a sequential algorithm. Compact expressions are given for the sequential estimation algorithm, in which the continuous-time parameterization is kept.
Keywords :
autoregressive moving average processes; covariance analysis; parameter estimation; sequential estimation; signal representation; signal sampling; state-space methods; continuous-time ARMA process; continuous-time parameterization; continuous-time process covariance function; discrete-time data sample covariances; sampling period; sequential parameter estimation; state space representation; stochastic continuous-time signals; Bismuth; Control design; Econometrics; Filters; Parameter estimation; Shape; Signal processing; State-space methods; Stochastic processes; Stochastic systems;
Conference_Titel :
Acoustics, Speech, and Signal Processing, 2005. Proceedings. (ICASSP '05). IEEE International Conference on
Print_ISBN :
0-7803-8874-7
DOI :
10.1109/ICASSP.2005.1415999
