β Scribed by Arunabha Bagchi
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Brief Paper Continuous Time Systems Identification with Unknown Noise Covariance* Syst~mes d'Identification de Temps Continu avec Co-variation de Bruit (ou Bruits) Inconnus Identifikation zeitkontinuierlicher Systeme mit unbekannter Rauschkovarianz ARUNABHA BAGCHII"
Summary--In identifying parameters of a continuous-time dynamical system, a difficulty arises when the observation noise covariance is unknown. The present paper solves this problem in the ease of a linear time-invariant system " with white noise affecting additively both the state and the observation. The problem is that the likelihood functional cannot be obtained when the observation noise covariance is unknown. A related procedure is suggested, however, and the estimates are obtained by finding roots of an appropriate functional. It is shown that the estimates obtained are consistent.
π SIMILAR VOLUMES
## Abstract Wiener systems which consist of a dynamic linear block followed by a static nonlinear element have been used in numerous applications. In many cases, the system parameters are affected by changes in the environmental conditions. This paper describes a new approach to the onβline identif