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hal-00369893, version 1

Estimating derivatives and integrals with Kriging

Emmanuel Vazquez () 1, 2, Eric Walter 2

IEEE 44th Conference on Decision and Control & European Control Conference (2005) pp 8156-8161

Résumé : This paper formalizes a methodology based on Kriging, a technique developped by geostatisticians, for estimating derivatives and integrals of signals that are only known via possibly irregularly spaced and noisy observations. This finds direct applications, e.g., in system identification when differential algebra is used to express parameters as nonlinear functions of the inputs and outputs and their derivatives. The procedure is quite simple to implement, and allows confidence intervals on the predicted values to be derived.

  • 1 :  SUPELEC-Campus Gif
  • SUPELEC
  • 2 :  Laboratoire des signaux et systèmes (L2S)
  • UMR8506 CNRS – SUPELEC – Université Paris XI - Paris Sud
  • Domaine : Mathématiques/Analyse fonctionnelle
    Mathématiques/Probabilités
    Mathématiques/Statistiques
    Statistiques/Théorie
 
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  • Contributeur : Emmanuel Vazquez <>
  • Soumis le : Dimanche 22 Mars 2009, 22:13:58
  • Dernière modification le : Dimanche 5 Avril 2009, 12:36:44