Brief Identification of continuous-time AR processes from unevenly sampled data

  • Authors:

  • Erik K. Larsson;Torsten SöDerströM

  • Affiliations:

  • Department of Systems and Control, Information Technology, Uppsala University, P.O. Box 27, SE-751 03 Uppsala, Sweden;Department of Systems and Control, Information Technology, Uppsala University, P.O. Box 27, SE-751 03 Uppsala, Sweden

  • Venue:
  • Automatica (Journal of IFAC)
  • Year:
  • 2002

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Abstract

When identifying a continuous-time AR process from discrete-time data, an obvious approach is to replace the derivative operator in the continuous-time model by an approximation. In some cases, a linear regression model can then be formulated. The well-known least-squares method would be very desirable to apply, since it enjoy good numerical properties and low computational complexity, in particular for fast or nonuniform sampling. The focus of this paper is the latter, i.e., nonuniform sampling. Two consistent least-squares schemes for the case of unevenly sampled data are presented. The precise choice of derivative approximation turns out to be crucial. The obtained results are compared to a prediction error method.