DocumentCode
431871
Title
Sequential estimation of stochastic continuous-time signals from sample covariances
Author
Mossberg, Magnus
Author_Institution
Dept. of Electr. Eng., Karlstad Univ., Sweden
Volume
4
fYear
2005
fDate
18-23 March 2005
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Acoustics, Speech, and Signal Processing, 2005. Proceedings. (ICASSP '05). IEEE International Conference on
ISSN
1520-6149
Print_ISBN
0-7803-8874-7
Type
conf
DOI
10.1109/ICASSP.2005.1415999
Filename
1415999
Link To Document