Non-asymptotic confidence regions for model parameters in the presence of unmodelled dynamics

DOI10.1016/J.AUTOMATICA.2009.05.028MaRDI QIDQ1049072zbMATH OpenOpenAlexFDO

Authors M. C. Campi, Sangho Ko, Erik Weyer

Publication date 8 January 2010

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2009.05.028

zbMATH Keywords

confidence regionssystem identificationorthonormal basis functionsundermodellingfinite sample results

Mathematics Subject Classification ID

System identification (93B30) Identification in stochastic control theory (93E12)

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Cites work

• scientific article; zbMATH DE number 835835 (Why is no real title available?)
• A generalized orthonormal basis for linear dynamical systems
• Assessing the quality of identified models through the asymptotic theory -- when is the result reliable?
• Exact Confidence Intervals in Regression Problems with Independent Symmetric Errors
• Finite sample properties of system identification methods
• Guaranteed non-asymptotic confidence regions in system identification
• Least-squares estimation of a class of frequency functions: a finite sample variance expression
• Non-Asymptotic Confidence Sets for the Parameters of Linear Transfer Functions
• Non-asymptotic confidence ellipsoids for the least-squares estimate
• Non-asymptotic quality assessment of generalised FIR models with periodic inputs
• On covariance function tests used in system identification
• Orthonormal Basis Functions in Time and Frequency Domain: Hambo Transform Theory
• Some Results on the Complete and Almost Sure Convergence of Linear Combinations of Independent Random Variables and Martingale Differences
• System identification using Kautz models
• System identification using Laguerre models
• System identification with generalized orthonormal basis functions
• The asymptotic model quality assessment for instrumental variable identification revisited
• The fundamental role of general orthonormal bases in system identification

Cited in

(8)

• Finite sample confidence region for EIV systems using regression model
• Facing undermodelling in sign-perturbed-sums system identification
• Non-asymptotic confidence regions for the parameters of EIV systems
• Parameter identification for nonlinear systems: guaranteed confidence regions through LSCR
• Asymptotic properties of SPS confidence regions
• Non-asymptotic state-space identification of closed-loop stochastic linear systems using instrumental variables
• Non-asymptotic model quality assessment of transfer functions at multiple frequency points
• Guaranteed non-asymptotic confidence regions in system identification

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