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Variance Analysis of a Cross-Covariance Matching Method for Continuous-Time ARX Parameter Estimation
- Source :
- IEEE Transactions on Automatic Control. 53:1072-1076
- Publication Year :
- 2008
- Publisher :
- Institute of Electrical and Electronics Engineers (IEEE), 2008.
-
Abstract
- A method for estimating the parameters of a continuous-time autoregressive exogenous process from discrete-time data is analyzed. The method consists of fitting an expression for the cross-covariance function, parameterized by the unknown parameters, to sample cross-covariances. The main contribution of the note is the derivation of an approximate expression for the covariance matrix of the estimated parameter vector.
- Subjects :
- Analysis of covariance
Estimation theory
Covariance matrix
System identification
Parameterized complexity
Covariance
Computer Science Applications
Autoregressive model
Control and Systems Engineering
Statistics
Statistics::Methodology
Applied mathematics
Cross-covariance
Electrical and Electronic Engineering
Mathematics
Subjects
Details
- ISSN :
- 00189286
- Volume :
- 53
- Database :
- OpenAIRE
- Journal :
- IEEE Transactions on Automatic Control
- Accession number :
- edsair.doi...........226b94bfe9101d27cf19c5eeb8aac9c6
- Full Text :
- https://doi.org/10.1109/tac.2008.919554