Subspace-based Identification for Continuous-Time Stochastic Systems via Distribution-Theoretic Approach

Abstract

This paper presents a novel approach for system identification of continuous-time stochastic state space models from random input-output continuous data. The approach is based on the introduction of the random distribution theory in describing the (higher) time derivatives of stochastic processes, and the input-output algebraic relationship is derived which is treated in the time-domain. The efficacy of the approach proposed is examined by comparing with other approaches employing the filters.