A numerical study of time and frequency domain maximum likelihood estimation

Ramón A. Delgado, Juan I. Yuz, Juan C. Agüero, Graham C. Goodwin

Research output: Contribution to conferencePaper

Abstract

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. © 2009 IFAC.
Original languageEnglish
Pages1133-1138
Number of pages6
DOIs
Publication statusPublished - 1 Dec 2009
EventIFAC Proceedings Volumes (IFAC-PapersOnline) -
Duration: 1 Jan 2011 → …

Conference

ConferenceIFAC Proceedings Volumes (IFAC-PapersOnline)
Period1/01/11 → …

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  • Cite this

    Delgado, R. A., Yuz, J. I., Agüero, J. C., & Goodwin, G. C. (2009). A numerical study of time and frequency domain maximum likelihood estimation. 1133-1138. Paper presented at IFAC Proceedings Volumes (IFAC-PapersOnline), . https://doi.org/10.3182/20090706-3-FR-2004.0322