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.
| Original language | English |
|---|---|
| Pages (from-to) | 1105-1110 |
| Number of pages | 6 |
| Journal | International Journal of Dynamics and Control |
| Volume | 6 |
| Issue number | 3 |
| DOIs | |
| State | Published - 1 Sep 2018 |
Keywords
- Instrumental variables
- Parameter estimation
- Stochastic systems