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Authors
Jonas Gillberg; Lennart Ljung

Digital Object Identifier (DOI)
10.3182/20050703-6-CZ-1902.00038

Page Numbers:
37-37

Index Terms
continuous-time systems,parameter estimation,continuous-time ARMA,noise model,Whittle likelihood estimator

Abstract
This paper treats direct identification of continuous-time autoregressive moving average (CARMA) noise models. The approach has its point of origin in the frequency domain Whittle likelihood estimator. The discrete- or continuous-time spectral densities are estimated from equidistant samples of the output. For low sampling rates the discrete-time spectral density is modeled directly by its continuous-time spectral density using the Poisson summation formula. In the case of rapid sampling the continuous-time spectral density is estimated directly by modifying its discrete-time counterpart.

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