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Identification of continuous-time ARX models using sample cross-covariances | IEEE Conference Publication | IEEE Xplore

Identification of continuous-time ARX models using sample cross-covariances


Abstract:

The problem of estimating the parameters of a continuous-time ARX (CARX) process from discrete-time data is studied. In the proposed solution, an expression for the cross...Show More

Abstract:

The problem of estimating the parameters of a continuous-time ARX (CARX) process from discrete-time data is studied. In the proposed solution, an expression for the cross-covariance function between the input and the output signal of the CARX process is derived. This expression is parameterized by the unknown and searched parameters. The parameters are estimated by fitting the theoretical expression for the cross-covariance function to sample cross-covariances.
Date of Conference: 08-10 June 2005
Date Added to IEEE Xplore: 01 August 2005
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Conference Location: Portland, OR, USA

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