Optimization and Systems Theory Seminar
Friday, February 29 2008, 11.00-12.00, Room 3721, Lindstedtsvägen 25

Magnus Mossberg, Karlstad Universitet
E-mail: magnus.mossberg@kau.se

Estimation of continuous-time stochastic system parameters from sample covariances

The problem of estimating the parameters in different types of continuous-time stochastic systems from discrete-time data is considered. The proposed solution is to fit covariance and cross-covariance functions, parameterized by the unknown parameters, to covariance and cross-covariance functions estimated from the discrete-time data. It is shown that the method gives consistent parameter estimates and approximative expressions for the covariance matrices of the estimated parameters are given. Results from numerical studies and examples of possible applications are also presented.

Calendar of seminars Last update: February 6, 2008 by Marie Lundin.