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
收藏
页码：1311 / 1326
页数：16
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