Issues in sampling and estimating continuous-time models with stochastic disturbances

  title={Issues in sampling and estimating continuous-time models with stochastic disturbances},
  author={Lennart Ljung and Adrian Wills},
The standard continuous time state space model with stochastic disturbances contains the mathematical abstraction of continuous time white noise. To work with well defined, discrete time observations, it is necessary to sample the model with care. The basic issues are well known, and have been discussed in the literature. However, the consequences have not quite penetrated the practise of estimation and identification. One example is that the standard model of an observation being a snapshot of… CONTINUE READING
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