EM-based identification of continuous-time ARMA Models from irregularly sampled data

Abstract:

In this paper we present a novel algorithm for identifying continuous-time autoregressive moving-average models utilizing irregularly sampled data. The proposed algorithm is based on the expectation–maximization algorithm and obtains maximum-likelihood estimates. The proposed algorithm shows a fast convergence rate, good robustness to initial values, and desirable estimation accuracy. Comparisons are made with other algorithms in the literature via numerical examples.

Año de publicación:

2017

Keywords:

• Expectation–Maximization
• Maximum-likelihood
• Continuous-time ARMA model
• Irregularly sampled data

Fuente:

scopus