On the equivalence of time and frequency domain maximum likelihood estimation

被引：49

作者：

Agueero, Juan C. ^{[1
]}

Yuz, Juan I. ^{[2
]}

Goodwin, Graham C. ^{[1
]}

Delgado, Ramon A. ^{[2
]}

机构：

[1] Univ Newcastle, Sch Elect Engn & Comp Sci, ARC Ctr Complex Dynam Syst & Control CDSC, Callaghan, NSW 2308, Australia

[2] Univ Tecn Federico Santa Maria, Dept Elect Engn, Valparaiso, Chile

来源：

AUTOMATICA | 2010年 / 46卷 / 02期

关键词：

Maximum likelihood estimation; Frequency domain identification; System identification; SYSTEM-IDENTIFICATION; REGRESSION;

D O I：

10.1016/j.automatica.2009.10.038

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Maximum likelihood estimation has a rich history. It has been Successfully applied to many problems including dynamical system identification. Different approaches have been proposed in the time and frequency domains. In this paper we discuss the relationship between these approaches and we establish conditions under which the different formulations are equivalent for finite length data. A key point in this context is how initial (and final) conditions are considered and how they are introduced in the likelihood function. (C) 2009 Elsevier Ltd. All rights reserved.

引用

页码：260 / 270

页数：11

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