Continuous-time AR process parameter estimation in presence of additive white noise

Must existing work so far on continuous-time AR (CAR) parameter estimation concentrates on the noiseless measurement case. When measurement noise is present, our previous results on CAR parameter estimation need to be revised accordingly. Here we model the additive measurement noise as continuous-time white noise, and consider some approaches including average sampling and the direct LS method which we developed previously. Their advantages and disadvantages in this application are discussed.