Continuous time systems identification with unknown noise covariance = Systèmes d'identification de temps continu avec co-variation de bruit (ou bruits) inconnus = Identifikation zeitkontinuierlicher systeme mit unbekannter rauschkovarianz

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Bagchi, A. (1975) Continuous time systems identification with unknown noise covariance = Systèmes d'identification de temps continu avec co-variation de bruit (ou bruits) inconnus = Identifikation zeitkontinuierlicher systeme mit unbekannter rauschkovarianz. Automatica, 11 (5). pp. 533-536. ISSN 0005-1098

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Abstract:In identifying parameters of a continuous-time dynamical system, a difficulty arises when the observation noise covariance is unknown. The present paper solves this problem in the case of a linear time-invariant system with white noise affecting additively both the state and the observation. The problem is that the likelihood functional cannot be obtained when the observation noise covariance is unknown. A related procedure is suggested, however, and the estimates are obtained by finding roots of an appropriate functional. It is shown that the estimates obtained are consistent.
Item Type:Article
Copyright:© 1975 Elsevier Science
Faculty:
Electrical Engineering, Mathematics and Computer Science (EEMCS)
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Link to this item:http://purl.utwente.nl/publications/68319
Official URL:http://dx.doi.org/10.1016/0005-1098(75)90030-8
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