E. Cinquemani, R. Porreca, G. Ferrari-Trecate, and J. Lygeros. A general framework for the identification of jump markov linear systems. Proc. 46th IEEE Conference on Decision and Control , pages 5737--5742, 2007. New Orleans, LA, US, 12-14 December.
This paper concerns parameter identification for the class of jump Markov linear systems. We present recursive formulae 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.