Technical Report 2005-024

Approaches for Continuous-Time Modeling in Errors-in-Variables Identification

Torsten Söderström, Erik K. Larsson, Kaushik Mahata, and Magnus Mossberg

September 2005

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 Cramér-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.

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