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Seminar 00150.txt

Maximum-likelihood identification of sampled Gaussian processes
Hagai Kirshner, EPFL STI LIB

Seminar • 11 April 2011

Abstract
This work considers sampled data of continuous-domain Gaussian processes. We derive a maximum-likelihood estimator for identifying autoregressive moving average parameters while incorporating the sampling process into the problem formulation. The proposed identification approach introduces exponential models for both the continuous and the sampled processes. We construct a likelihood function from a digitally-filtered version of the available data which is asymptotically exact. This function has several local minima that originatefrom aliasing, plus a global minimum that corresponds to the maximum-likelihood estimator. We further compare the performance of the proposed algorithm with other currently available methods.
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