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 -