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.
['Eugenio Cinquemani', 'Riccardo Porreca', 'Giancarlo Ferrari-Trecate', 'John Lygeros']
A general framework for the identification of jump Markov linear systems