Tuning complexity in regularized kernel-based regression and linear system identification: the robustness of the marginal likelihood estimator

DOI10.1016/j.automatica.2015.05.012zbMath1330.93235OpenAlexW1862263964MaRDI QIDQ895270

Gianluigi Pillonetto, Alessandro Chiuso

Publication date: 26 November 2015

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2015.05.012

zbMATH Keywords

kernel-based regularizationlinear system identificationbias-variance trade offexcess degrees of freedomStein's unbiased risk estimation

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24) Identification in stochastic control theory (93E12)

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Uses Software

• ElemStatLearn

Cites Work

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