COMPUTING STOCHASTIC CONTINUOUS-TIME MODELS FROM ARMA MODELS

被引：20

作者：

SODERSTROM, T

机构：

[1] Automatic Control and Systems Analysis Group, Department of Technology, Uppsala University, Uppsala, S75103

来源：

INTERNATIONAL JOURNAL OF CONTROL | 1991年 / 53卷 / 06期

关键词：

D O I：

10.1080/00207179108953677

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Some algorithms for computing the underlying continuous-time stochastic model from a sampled ARMA model are presented. Three algorithms are given, all having a modest computational complexity. The properties of the algorithms are analysed and also illustrated by means of numerical examples.

引用

页码：1311 / 1326

页数：16

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