Title: Frequency domain maximum likelihood estimation of linear dynamic errors-in-variables models
Authors: Pintelon, R ×
Schoukens, Joannes #
Issue Date: Apr-2007
Publisher: Pergamon-elsevier science ltd
Series Title: Automatica vol:43 issue:4 pages:621-630
Abstract: This paper studies the linear dynamic errors-in-variables problem for filtered white noise excitations. First, a frequency domain Gaussian maximum likelihood (ML) estimator is constructed that can handle discrete-time as well as continuous-time models on (a) part(s) of the unit circle or imaginary axis. Next, the ML estimates are calculated via a computationally simple and numerically stable Gauss-Newton minimization scheme. Finally, the Cramer-Rao lower bound is derived. (C) 2007 Elsevier Ltd. All rights reserved.
ISSN: 0005-1098
Publication status: published
KU Leuven publication type: IT
Appears in Collections:ESAT - STADIUS, Stadius Centre for Dynamical Systems, Signal Processing and Data Analytics
× corresponding author
# (joint) last author

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