Finite sample properties of linear model identification

DOI10.1109/9.774109MaRDI QIDQ4506838zbMATH OpenOpenAlexFDO

Authors Robert C. Williamson, Iven Mareels, Erik Weyer

Publication date 17 October 2000

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/9.774109

zbMATH Keywords

finite sample propertiesleast squares identification algorithmVapnik's risk minimization theory

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12) Least squares and related methods for stochastic control systems (93E24)

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Cited in

(14)

• Risk sensitive identification of linear stochastic systems
• Signed-perturbed sums estimation of ARX systems: exact coverage and strong consistency
• Non-asymptotic quality assessment of generalised FIR models with periodic inputs
• Finite sample properties of system identification of ARX models under mixing conditions
• Finite sample performance of linear least squares estimation
• Bayesian system identification via Markov chain Monte Carlo techniques
• Non-asymptotic state-space identification of closed-loop stochastic linear systems using instrumental variables
• Finite impulse response models: a non-asymptotic analysis of the least squares estimator
• Data-dependent analysis of model validation errors for linear system identification
• Finite sample properties of virtual reference feedback tuning control
• Finite identification with positive and with complete data
• Non-asymptotic confidence ellipsoids for the least-squares estimate
• Predictive control oriented identification of finite step response model
• Convergence analysis of central and minimax algorithms in scalar regressor models

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