A numerical study of time and frequency domain maximum likelihood estimation

Title: A numerical study of time and frequency domain maximum likelihood estimation
Creator: Delgado, Ramón A.; Yuz, Juan I.; Agüero, Juan C.; Goodwin, Graham C.
Relation: 15th IFAC Symposium on System Identification (SYSID 2009). Proceedings of the 15th IFAC Symposium on System Identification (Saint-Malo, France 6-8 July, 2009) p. 1133-1138
Publisher Link: http://dx.doi.org/10.3182/20090706-3-FR-2004.00188
Publisher: International Federation of Automatic Control (IFAC)
Resource Type: conference paper
Date: 2009
Description: Different maximum likelihood formulations have been proposed in the literature for dynamic system identification in the time and frequency domains. In this paper we present numerical examples to study and compare these approaches for short and long data sets. In particular, in the time domain, different likelihood functions are obtained depending on whether or not the initial state is considered as a random vector, as a deterministic parameter, or equal to zero. Similar assumptions can be made in the frequency domain regarding an extra term that contains the difference between the initial and final state.
Subject: maximum likelihood methods; frequency domain; system identification
Identifier: http://hdl.handle.net/1959.13/919680
Identifier: uon:8943
Identifier: ISBN:9783902661470
Identifier: ISSN:1474-6670
Language: eng
Reviewed

		Thumbnail	File	Description	Size	Format