14th IFAC Symposium on System Identification, SYSID 2006

SYSID-2006 Paper Abstract

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Paper WeB3.3

Söderström, Torsten (Uppsala Univ.), Larsson, Erik (Uppsala Univ.), Mahata, Kaushik (Univ. of Newcastle), Mossberg, Magnus (Karlstad Univ.)

Using Continuous-Time Modeling for Errors-In-Variables Identification

Scheduled for presentation during the Invited Session "Continuous-Time System Identification II" (WeB3), Wednesday, March 29, 2006, 16:10−16:30, 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 Errors in Variables Identification, Continuous Time System Estimation

Abstract

Continuous-time identification is applied to an errors-in-variables setting. A continuous-time model is fitted to data consisting of discrete-time noise corrupted input and output measurements. The noise-free input is modelled as a continuous-time ARMA process. It is described how the Cramer-Rao lower bound for the estimation problem can be computed. Several parameter estimation approaches for the problem are presented, and also illustrated in a short numerical study.