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Maximum likelihood estimation has a rich history. It has been successfully applied to many problems including dynamical system identification. Different approaches have been proposed in the time and frequency domains. In this paper we discuss the relationship between these approaches and we establish conditions under which the different formulations are equivalent for finite length data. A key point in this context is how initial (and final) conditions are considered and how they are introduced in the likelihood function.
ARC Centre for Complex Dynamics Systems and Control (CDSC), School of Electrical Engineering and Computer Science, The University of Newcastle, Australia
ARC Centre for Complex Dynamics Systems and Control (CDSC), School of Electrical Engineering and Computer Science, The University of Newcastle, Australia