Parameter estimation of linear systems in the absence of process noise: (ii) the Maximum Likelihood method.
Abstract:ESDU 88011 presents a method that complements the methods in ESDU 87039 in that it is iterative as was one method in ESDU 87039 but can take account of differing noise levels on each of the instruments. The technique is introduced and then illustrated by two worked examples, both system models of two coupled first-order differential equations containing two unknown parameters. A method for obtaining the accuracy of the estimated values of the unknown parameters, and a measure of their correlation, is included. Extension to a generalised system model with multiple parameters and many degrees of freedom is considered.
|Data Item ESDU 88011|