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Computing stochastic continuous-time models from ARMA models

 

作者: TORSTEN SÖDERSTROM,  

 

期刊: International Journal of Control  （Taylor Available online 1991）
卷期: Volume 53, issue 6  

页码: 1311-1326

 

ISSN:0020-7179

 

年代: 1991

 

DOI:10.1080/00207179108953677

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

Some algorithms for computing the underlying continuous-time stochastic model from a sampled ARMA model are presented. Three algorithms are given, all having a modest computational complexity. The properties of the algorithms are analysed and also illustrated by means of numerical examples.

 

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