Continuous-time prediction error identification method for delayed processes

摘要

We propose a continuous-time prediction error method to identify combined deterministic-stochastic continuous-time delayed processes. It minimizes the prediction error using the Newton optimization method with analytical derivatives of the objective function with respect to the adjustable parameters that contains the time delay. The proposed method can incorporate directly both small and large sampling time as well as irregular sampling time. Unbiased estimates are guaranteed like discretetime prediction error method.