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research report
A general framework for the identification of jump Markov linear systems
2007
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.
Type
research report
Authors
Cinquemani, E.
•
Porreca, R.
•
Ferrari-Trecate, G.
•
Lygeros, J.
Publication date
2007
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
January 10, 2017
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