Brief paper: On the indirect approaches for CARMA model identification

Authors:
Kaushik Mahata;Minyue Fu
Affiliations:
Centre for Complex Dynamic Systems and Control, School of Electrical Engineering and Computer Science, University of Newcastle, Callaghan, NSW 2308, Australia;Centre for Complex Dynamic Systems and Control, School of Electrical Engineering and Computer Science, University of Newcastle, Callaghan, NSW 2308, Australia
Venue:
Automatica (Journal of IFAC)
Year:
2007

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Abstract

In this paper, we study the problem of reconstructing a continuous-time (CT) model from an identified discrete-time (DT) model for a continuous-time stochastic process. We present a new necessary and sufficient condition for the existence of the solution. We also show that the solution is unique if it exists. Our results are useful in modeling multivariable processes as well. These results are then used to develop an algorithm where the intermediate discrete-time model estimation is not necessary. The performance of our algorithm is illustrated using numerical simulations.