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 language | Undefined |
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Pages (from-to) | 533-536 |
Journal | Automatica |
Volume | 11 |
Issue number | 5 |
DOIs | |
Publication status | Published - 1975 |
Keywords
- IR-68319