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This paper presents an estimation algorithm for continuous-time stochastic systems under coloured perturbations using an extended form of the instrumental variable method. A comparison between the extended an the simple… Click to show full abstract
This paper presents an estimation algorithm for continuous-time stochastic systems under coloured perturbations using an extended form of the instrumental variable method. A comparison between the extended an the simple form was done using two numerical examples to test their efficiency. The results showed that the simple version is able to estimate coloured noise without additional information and it is easier to implement than the extended version.
Keywords:
coloured noise;
stochastic systems;
systems coloured;
variables parameter;
parameter estimation;
instrumental variables
Journal Title: International Journal of Dynamics and Control
Year Published: 2018
Link to full text (if available)
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Journal Title: International Journal of Dynamics and Control
Year Published: 2018
Link to full text (if available)
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recommendations!