An overview of important practical aspects of continuous-time ARMA system identification
2006 (English)In: Circuits, Systems and Signal Processing, Vol. 25, no 1, 17-46 p.Article in journal (Refereed) Published
The problem of estimating the parameters in continuous-time autoregressive moving average (ARMA) processes from discrete-time data is considered. Both direct and indirect methods are studied, and similarities and differences are discussed. A general discussion of the inherent difficulties of the problem is given together with a comprehensive study on how the choice of the sampling interval influences the estimation result. A special focus is given to how the Cramer-Rao lower bound depends on the sampling interval.
Place, publisher, year, edition, pages
2006. Vol. 25, no 1, 17-46 p.
IdentifiersURN: urn:nbn:se:uu:diva-18095OAI: oai:DiVA.org:uu-18095DiVA: diva2:45866