FREQUENCY-DOMAIN IDENTIFICATION OF CONTINUOUS-TIME ARMA MODELS FROM SAMPLED DATA

This paper treats direct identification of continuous-time autoregressive moving average (CARMA) noise models. The approach has its point of origin in the frequency domain Whittle likelihood estimator. The discrete- or continuous-time spectral densities are estimated from equidistant samples of the output. For low sampling rates the discrete-time spectral density is modeled directly by its continuous-time spectral density using the Poisson summation formula. In the case of rapid sampling the continuous-time spectral density is estimated directly by modifying its discrete-time counterpart.