Asymptotic properties of SPS confidence regions

DOI10.1016/j.automatica.2017.04.041zbMath1372.93208OpenAlexW2617115630MaRDI QIDQ2409160

Erik Weyer, Balázs Csanád Csáji, Marco C. Campi

Publication date: 11 October 2017

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: http://real.mtak.hu/86548/1/SPS-Asymptotics-Automatica-2017.pdf

zbMATH Keywords

regression analysissystem identificationparameter estimationasymptotic properties

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Related Items (6)

Minimax linear estimation with the probability criterion under unimodal noise and bounded parameters ⋮ Non-asymptotic state-space identification of closed-loop stochastic linear systems using instrumental variables ⋮ Facing undermodelling in sign-perturbed-sums system identification ⋮ Bayesian frequentist bounds for machine learning and system identification ⋮ Stealth identification strategy for closed loop system structure ⋮ A simple condition for the boundedness of sign-perturbed-sums (SPS) confidence regions

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• Probabilistic Optimal Estimation With Uniformly Distributed Noise
• Asymptotic Statistics
• Sign-Perturbed Sums: A New System Identification Approach for Constructing Exact Non-Asymptotic Confidence Regions in Linear Regression Models
• Non-Asymptotic Confidence Sets for the Parameters of Linear Transfer Functions

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