Estimation of Continuous-Time Stochastic Signals From Sample Covariances

@article{Mossberg2008EstimationOC,
  title={Estimation of Continuous-Time Stochastic Signals From Sample Covariances},
  author={Magnus Mossberg},
  journal={IEEE Transactions on Signal Processing},
  year={2008},
  volume={56},
  pages={821-825}
}
The problem of estimating the parameters in stochastic continuous-time signals, represented as continuous-time autoregressive moving average (ARMA) processes, from discrete-time data is considered. The proposed solution is to fit the covariance function of the process, parameterized by the unknown parameters, to sample covariances. It is shown that the method is consistent, and an expression for the approximate covariance matrix of the estimated parameter vector is derived. The derived… CONTINUE READING

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