Parameter Estimation in Continuous-Time Stochastic Signals using Covariance Functions

M. Mossberg (Sweden)


Estimation, Identification, Systems Theory


The problem of estimating continuous-time ARMA pa rameters from discrete-time data is studied. An approach that uses an expression for the covariance function of the continuous-time ARMA process, parameterized by the continuous-time parameters, is proposed. The parame ters are determined by fitting the parameterized covariance function to a covariance function estimated from discrete time data.

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