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

DOI10.1109/78.806082zbMath1011.94515OpenAlexW2141016539MaRDI QIDQ2732919

Yuanjie Zou, Torsten Söderström, Howard Fan

Publication date: 2 December 2001

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/78.806082

zbMATH Keywords

parameter estimationGaussian noisesampling methodsleast squares methodscontinuous-time autoregressive processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Least squares and related methods for stochastic control systems (93E24) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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