Computing stochastic continuous-time models from ARMA models

DOI10.1080/00207179108953677zbMath0733.93049OpenAlexW2069104034MaRDI QIDQ3360751

Torsten Söderström

Publication date: 1991

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179108953677

zbMATH Keywords

numerical examplescontinuous-timecontinuous-time stochastic model

Mathematics Subject Classification ID

Related Items (5)

The Correspondence Between Stochastic Linear Difference and Differential Equations ⋮ Modeling continuous-time processes via input-to-state filters ⋮ Limiting sampling results for continuous-time ARMA systems ⋮ A variational integrators approach to second order modeling and identification of linear mechanical systems ⋮ On the indirect approaches for CARMA model identification

Cites Work

• Identification of continuous-time multivariable systems from sampled data†
• Computing integrals involving the matrix exponential
• Factorization of the Covariance Generating Function of a Pure Moving Average Process
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