Continuous time systems identification with unknown noise covariance = Systèmes d'identification de temps continu avec co-variation de bruit (ou bruits) inconnus = Identifikation zeitkontinuierlicher systeme mit unbekannter rauschkovarianz

Arunabha Bagchi

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Abstract

In identifying parameters of a continuous-time dynamical system, a difficulty arises when the observation noise covariance is unknown. The present paper solves this problem in the case of a linear time-invariant system with white noise affecting additively both the state and the observation. The problem is that the likelihood functional cannot be obtained when the observation noise covariance is unknown. A related procedure is suggested, however, and the estimates are obtained by finding roots of an appropriate functional. It is shown that the estimates obtained are consistent.
Original languageUndefined
Pages (from-to)533-536
JournalAutomatica
Volume11
Issue number5
DOIs
Publication statusPublished - 1975

Keywords

  • IR-68319

Cite this

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title = "Continuous time systems identification with unknown noise covariance = Syst{\`e}mes d'identification de temps continu avec co-variation de bruit (ou bruits) inconnus = Identifikation zeitkontinuierlicher systeme mit unbekannter rauschkovarianz",
abstract = "In identifying parameters of a continuous-time dynamical system, a difficulty arises when the observation noise covariance is unknown. The present paper solves this problem in the case of a linear time-invariant system with white noise affecting additively both the state and the observation. The problem is that the likelihood functional cannot be obtained when the observation noise covariance is unknown. A related procedure is suggested, however, and the estimates are obtained by finding roots of an appropriate functional. It is shown that the estimates obtained are consistent.",
keywords = "IR-68319",
author = "Arunabha Bagchi",
year = "1975",
doi = "10.1016/0005-1098(75)90030-8",
language = "Undefined",
volume = "11",
pages = "533--536",
journal = "Automatica",
issn = "0005-1098",
publisher = "Elsevier",
number = "5",

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TY - JOUR

T1 - Continuous time systems identification with unknown noise covariance = Systèmes d'identification de temps continu avec co-variation de bruit (ou bruits) inconnus = Identifikation zeitkontinuierlicher systeme mit unbekannter rauschkovarianz

AU - Bagchi, Arunabha

PY - 1975

Y1 - 1975

N2 - In identifying parameters of a continuous-time dynamical system, a difficulty arises when the observation noise covariance is unknown. The present paper solves this problem in the case of a linear time-invariant system with white noise affecting additively both the state and the observation. The problem is that the likelihood functional cannot be obtained when the observation noise covariance is unknown. A related procedure is suggested, however, and the estimates are obtained by finding roots of an appropriate functional. It is shown that the estimates obtained are consistent.

AB - In identifying parameters of a continuous-time dynamical system, a difficulty arises when the observation noise covariance is unknown. The present paper solves this problem in the case of a linear time-invariant system with white noise affecting additively both the state and the observation. The problem is that the likelihood functional cannot be obtained when the observation noise covariance is unknown. A related procedure is suggested, however, and the estimates are obtained by finding roots of an appropriate functional. It is shown that the estimates obtained are consistent.

KW - IR-68319

U2 - 10.1016/0005-1098(75)90030-8

DO - 10.1016/0005-1098(75)90030-8

M3 - Article

VL - 11

SP - 533

EP - 536

JO - Automatica

JF - Automatica

SN - 0005-1098

IS - 5

ER -