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A general framework for the identification of jump Markov linear systems


E. Cinquemani, R. Porreca, G. Ferrari-Trecate, J. Lygeros

IEEE Conference on Decision and Control

This talk concerns parameter identification for the class of jump Markov linear systems. We present recursive formulas 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.


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