Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/919680

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Title
A numerical study of time and frequency domain maximum likelihood estimation
Author/Creator
Delgado, Ramón A.;  Yuz, Juan I.;  Agüero, Juan C.;  Goodwin, Graham C.
Institution
The University of Newcastle. Faculty of Engineering & Built Environment, School of Electrical Engineering and Computer Science
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.
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
Date
2009
Publisher
International Federation of Automatic Control (IFAC)
Keyword(s)
maximum likelihood methods;  frequency domain;  system identification
Resource Type
conference paper
Identifier
http://hdl.handle.net/1959.13/919680
Identifier
ISBN:9783902661470
Identifier
ISSN:1474-6670
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"A numerical study of time and frequency domain maximum likelihood estimation"
 
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