Sign-Perturbed Sums: A New System Identification Approach for Constructing Exact Non-Asymptotic Confidence Regions in Linear Regression Models

DOI10.1109/TSP.2014.2369000zbMATH Open1394.94141arXiv1807.08216MaRDI QIDQ4579668FDOQ4579668

Authors: Balázs Csanád Csáji, M. C. Campi, Erik Weyer 

Publication date: 22 August 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Abstract: We propose a new system identification method, called Sign-Perturbed Sums (SPS), for constructing non-asymptotic confidence regions under mild statistical assumptions. SPS is introduced for linear regression models, including but not limited to FIR systems, and we show that the SPS confidence regions have exact confidence probabilities, i.e., they contain the true parameter with a user-chosen exact probability for any finite data set. Moreover, we also prove that the SPS regions are star convex with the Least-Squares (LS) estimate as a star center. The main assumptions of SPS are that the noise terms are independent and symmetrically distributed about zero, but they can be nonstationary, and their distributions need not be known. The paper also proposes a computationally efficient ellipsoidal outer approximation algorithm for SPS. Finally, SPS is demonstrated through a number of simulation experiments.

Full work available at URL: https://arxiv.org/abs/1807.08216

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (12)

• Bayesian frequentist bounds for machine learning and system identification
• Facing undermodelling in sign-perturbed-sums system identification
• Scenario based optimisation over uncertain system identification models
• Distribution-free uncertainty quantification for kernel methods by gradient perturbations
• A simple condition for the boundedness of sign-perturbed-sums (SPS) confidence regions
• Non-asymptotic confidence regions for the parameters of EIV systems
• Asymptotic properties of SPS confidence regions
• Non-asymptotic state-space identification of closed-loop stochastic linear systems using instrumental variables
• On the possibility of using the method of sign-perturbed sums for the processing of dynamic test data
• Deep networks for system identification: a survey
• Fast iterative sample transfer identification method for dynamic systems under non-identical distribution
• On the analysis of two theoretical approaches to predict the material strength under dynamic loading

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