Assessing the quality of identified models through the asymptotic theory -- when is the result reliable?

DOI10.1016/J.AUTOMATICA.2004.03.005MaRDI QIDQ705145zbMATH OpenOpenAlexFDO

Authors Simone Garatti, M. C. Campi, Sergio Bittanti

Publication date 26 January 2005

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2004.03.005

zbMATH Keywords

Box-JenkinsSystem identificationAsymptotic theoryARMAXModel quality assessment

Mathematics Subject Classification ID

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

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Cites work

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• scientific article; zbMATH DE number 867220 (Why is no real title available?)
• Asymptotic variance expressions for estimated frequency functions
• Asymptotic variance expressions for identified black-box transfer function models
• Comparing different approaches to model error modeling in robust identification
• Convergence analysis of parametric identification methods
• Estimating linear time-invariant models of nonlinear time-varying systems
• Estimating model variance in the case of undermodeling
• Estimation of model quality
• Finite sample properties of system identification methods
• Identification and control -- Closed-loop issues
• Identification of probabilistic system uncertainty regions by explicit evaluation of bias and variance errors
• Non-asymptotic confidence ellipsoids for the least-squares estimate
• On covariance function tests used in system identification
• Quantifying the error in estimated transfer functions with application to model order selection
• Special issue on trends in system identification
• The fundamental role of general orthonormal bases in system identification
• The role of model validation for assessing the size of the unmodeled dynamics
• Using the bootstrap to estimate the variance in the case of undermodeling

Cited in

(20)

• Necessary and sufficient conditions for uniqueness of the minimum in Prediction Error Identification
• The asymptotic model quality assessment for instrumental variable identification revisited
• Scenario based optimisation over uncertain system identification models
• Identification of symmetric noncausal processes
• Non-asymptotic quality assessment of generalised FIR models with periodic inputs
• Asymptotic statistical analysis for model-based control design strategies
• Identification of multi-input systems: variance analysis and input design issues
• Perturbed datasets methods for hypothesis testing and structure of corresponding confidence sets
• Non-asymptotic confidence regions for the parameters of EIV systems
• Parameter identification for nonlinear systems: guaranteed confidence regions through LSCR
• The nonasymptotic confidence set for parameters of a linear control object under an arbitrary external disturbance
• Bayesian system identification via Markov chain Monte Carlo techniques
• Use Hausdorff metric to analyze convergence of parameter estimation in system identification
• A counterexample to the uniqueness of the asymptotic estimate in ARMAX model identification via the correlation approach
• Non-asymptotic model quality assessment of transfer functions at multiple frequency points
• Non-asymptotic confidence regions for model parameters in the presence of unmodelled dynamics
• Guaranteed non-asymptotic confidence regions in system identification
• Iterative robust control: speeding up improvement through iterations
• On resampling and uncertainty estimation in linear system identification
• Covariance analysis in SISO linear systems identification

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