On the equivalence of time and frequency domain maximum likelihood estimation

Title: On the equivalence of time and frequency domain maximum likelihood estimation
Creator: Aguero, Juan C.; Yuz, Juan I.; Goodwin, Graham C.; Delgado, Ramón A.
Relation: Automatica Vol. 46, Issue 2, p. 260-270
Publisher Link: http://dx.doi.org/10.1016/j.automatica.2009.10.038
Publisher: Pergamon
Resource Type: journal article
Date: 2010
Description: Maximum likelihood estimation has a rich history. It has been successfully applied to many problems including dynamical system identification. Different approaches have been proposed in the time and frequency domains. In this paper we discuss the relationship between these approaches and we establish conditions under which the different formulations are equivalent for finite length data. A key point in this context is how initial (and final) conditions are considered and how they are introduced in the likelihood function.
Subject: maximum likelihood estimation; frequency domain identification; system identification
Identifier: http://hdl.handle.net/1959.13/932157
Identifier: uon:11269
Identifier: ISSN:0005-1098
Language: eng
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