High-accuracy instrumental variable identification of continuous-time autoregressive processes from irregularly, sampled noisy data

被引：11
|
作者：
Mossberg, Magnus [1 ]
机构：
[1] Karlstad Univ, Dept Elect Engn, SE-65188 Karlstad, Sweden
来源：
IEEE TRANSACTIONS ON SIGNAL PROCESSING | 2008年 / 56卷 / 08期
关键词：
autoregressive process; continuous time; instrumental variables identification; irregular sample;
D O I：
10.1109/TSP.2008.925578
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
A computationally efficient estimator of continuous-time autoregressive (AR) process parameters from irregularly sampled data affected by discrete-time white measurement noise is presented. It is described how an instrumental variable approach can be used for estimating the AR process parameters with high accuracy. Possible estimators of the incremental variance of the driving continuous-time white noise source and of the variance of the discrete-time white measurement noise are also discussed.
引用
收藏
页码：4087 / 4091
页数：5
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