Bootstrap-based estimates of uncertainty in subspace identification methods
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The authors study the problem of evaluation of model uncertainty in the framework of subspace identification methods. They use methods of computational statistics. In particular, a procedure for the estimation of the standard error of the eigenvalues and of the frequency response of the identified model is presented. The statistical tool used is the bootstrap method. Simulated results are given and demonstrate that accurate estimates of the standard error are obtained by this technique.
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- Bootstrap confidence bands for spectra and cross-spectra
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Cited in
(7)- The nonasymptotic confidence set for parameters of a linear control object under an arbitrary external disturbance
- Guaranteed non-asymptotic confidence regions in system identification
- Towards a state-space polytopic uncertainty description using subspace model identification techniques
- Standard error computations for uncertainty quantification in inverse problems: asymptotic theory vs. bootstrapping
- Parameterization and identification of multivariable state-space systems: a canonical approach
- On resampling and uncertainty estimation in linear system identification
- Bayesian system identification via Markov chain Monte Carlo techniques
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