ScholarLens Back to search
2007•Unpublished venueRequires access

Analysis of a covariance matching method for continuous-time errors-in-variables identification

Magnus Mossberg

Open publisher page 9 citations

Abstract

A covariance matching method for continuous-time errors-in-variables identification is analyzed. The method consists of fitting covariance and cross-covariance functions, parameterized by the unknown parameters, to covariance and cross-covariance functions estimated from discrete-time data. An expression for the asymptotic covariance matrix of the estimated parameter vector is given. The derived asymptotic covariance matrix can be used as an important tool for studying the properties of the estimation method.

About this research paper

What this paper is about

A covariance matching method for continuous-time errors-in-variables identification is analyzed. The method consists of fitting covariance and cross-covariance functions, parameterized by the unknown parameters, to covariance and cross-covariance functions estimated from discrete-time data. An expression for the asymptotic covariance matrix of the estimated parameter vector is given. The derived asymptotic covariance matrix can be used as an important tool for studying the properties of the estimation method.

Why it matters

OpenAlex reports 9 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

A covariance matching method for continuous-time errors-in-variables identification is analyzed. The method consists of fitting covariance and cross-covariance functions, parameterized by the unknown parameters, to covariance and cross-covariance functions estimated from discrete-time data. An expression for the asymptotic covariance matrix of the estimated parameter vector is given. The derived asymptotic covariance matrix can be used as an important tool for studying the properties of the estimation method.

Key concepts: Covariance, Matérn covariance function, Covariance intersection, Rational quadratic covariance function, Estimation of covariance matrices, Covariance matrix, Law of total covariance, Covariance function

Related papers

Related paper 1Related paper 2Related paper 3
Back to paper searchBrowse research topicsOriginal source
Analysis of a covariance matching method for continuous-time errors-in-variables identification — Research Paper | ScholarLens