Non-asymptotic confidence ellipsoids for the least-squares estimate

DOI10.1016/S0005-1098(02)00064-XzbMath1007.93079MaRDI QIDQ1614424

Erik Weyer, Marco C. Campi

Publication date: 5 September 2002

Published in: Automatica (Search for Journal in Brave)

zbMATH Keywords

system identificationleast squaresfinite sample propertiesconfidence ellipsoidsnon-asymptotic confidence ellipsoids

Mathematics Subject Classification ID

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

Related Items

Identification of linear systems with multiplicative noise from multiple trajectory data ⋮ A combined MAP and Bayesian scheme for finite data and/or moving horizon estimation ⋮ Assessing the quality of identified models through the asymptotic theory -- when is the result reliable? ⋮ Non-asymptotic quality assessment of generalised FIR models with periodic inputs ⋮ From experiment design to closed-loop control ⋮ Nonasymptotic confidence sets of prescribed dimensions for parameters of nonlinear regressions ⋮ Non-asymptotic confidence regions for model parameters in the presence of unmodelled dynamics ⋮ Guaranteed non-asymptotic confidence regions in system identification

Cites Work

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