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Variance Analysis of a Cross-Covariance Matching Method for Continuous-Time ARX Parameter Estimation

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1 Author(s)
Mossberg, M. ; Dept. of Electr. Eng., Karlstad Univ., Karlstad

A method for estimating the parameters of a continuous-time autoregressive exogenous process from discrete-time data is analyzed. The method consists of fitting an expression for the cross-covariance function, parameterized by the unknown parameters, to sample cross-covariances. The main contribution of the note is the derivation of an approximate expression for the covariance matrix of the estimated parameter vector.

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Automatic Control, IEEE Transactions on  (Volume:53 ,  Issue: 4 )