14th IFAC Symposium on System Identification, SYSID 2006

SYSID-2006 Paper Abstract


Paper WeB3.2

Mahata, Kaushik (Univ. of Newcastle), Fu, Minyue (Univ. of Newcastle)

On the Reconstruction of Continuous-Time Models from Estimated Discrete-Time Models of Stochastic Processes

Scheduled for presentation during the Invited Session "Continuous-Time System Identification II" (WeB3), Wednesday, March 29, 2006, 15:50−16:10, Hunter Room

14th IFAC Symposium on System Identification, March 29 - 31, 2006, Newcastle, Australia

This information is tentative and subject to change. Compiled on July 17, 2018

Keywords Continuous Time System Estimation, Time Series


In this paper, we study the problem of reconstructing a continuous-time model from an identified discrete-time model of a continuous-time stochastic process. We present new necessary and sufficient condition for the existence of the soluion. It is also shown that the solution is unique if it exists. The theory is applicable to multivariable processes. The ideas are then used to develop a continuous-time ARMA (CARMA) process modelling algorithm with guaranteed solution. The theoretical results are tested using numerical simulations.