Non-asymptotic confidence ellipsoids for the least-squares estimate

DOI10.1016/S0005-1098(02)00064-XzbMATH Open1007.93079MaRDI QIDQ1614424FDOQ1614424

Authors: Erik Weyer, M. C. Campi 

Publication date: 5 September 2002

Published in: Automatica (Search for Journal in Brave)

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zbMATH Keywords

least squaressystem identificationfinite sample propertiesconfidence ellipsoidsnon-asymptotic confidence ellipsoids

Mathematics Subject Classification ID

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

Cites Work

• Nonparametric statistics for stochastic processes. Estimation and prediction.
• On covariance function tests used in system identification
• Finite sample properties of system identification methods
• Finite sample properties of system identification of ARX models under mixing conditions
• Finite sample properties of linear model identification

Cited In (12)

• Non-asymptotic quality assessment of generalised FIR models with periodic inputs
• From experiment design to closed-loop control
• Title not available (Why is that?)
• Confidence ellipsoids for regression coefficients by observations from a mixture
• A combined MAP and Bayesian scheme for finite data and/or moving horizon estimation
• Stochastic approach to the comparison of ellipsoidal and interval estimates
• Nonasymptotic confidence sets of prescribed dimensions for parameters of nonlinear regressions
• Assessing the quality of identified models through the asymptotic theory -- when is the result reliable?
• Identification of linear systems with multiplicative noise from multiple trajectory data
• Non-asymptotic confidence regions for model parameters in the presence of unmodelled dynamics
• Guaranteed non-asymptotic confidence regions in system identification
• Confidence ellipsoids based on a general family of shrinkage estimators for a linear model with non-spherical disturbances

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