This paper concerns parameter identification for the class of jump Markov linear systems. We present recursive formulae for the computation of the second-order statistics of a jump Markov process and discuss their application to the estimation of the model parameters given data from a single or repeated experiments. Simulation results are provided to show the effectiveness of our approach.

A general framework for the identification of jump Markov linear systems

FERRARI TRECATE, GIANCARLO;PORRECA, RICCARDO;
2007-01-01

Abstract

This paper concerns parameter identification for the class of jump Markov linear systems. We present recursive formulae for the computation of the second-order statistics of a jump Markov process and discuss their application to the estimation of the model parameters given data from a single or repeated experiments. Simulation results are provided to show the effectiveness of our approach.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11571/33644
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