Abstract
| Original language | Undefined |
|---|---|
| Pages (from-to) | 533-536 |
| Journal | Automatica |
| Volume | 11 |
| Issue number | 5 |
| DOIs | |
| Publication status | Published - 1975 |
Keywords
- IR-68319
Cite this
}
Research output: Contribution to journal › Article › Academic
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 -