Optimal estimation theory for dynamic systems with set membership uncertainty: an overview
Automatica (Journal of IFAC)
Model quality evaluation in set membership identification
Automatica (Journal of IFAC)
Paper: Bounded-error parameter estimation: Noise models and recursive algorithms
Automatica (Journal of IFAC)
Brief Non-asymptotic confidence ellipsoids for the least-squares estimate
Automatica (Journal of IFAC)
Bootstrap-based estimates of uncertainty in subspace identification methods
Automatica (Journal of IFAC)
Automatica (Journal of IFAC)
Non-asymptotic quality assessment of generalised FIR models with periodic inputs
Automatica (Journal of IFAC)
Automatica (Journal of IFAC)
Survey paper: Optimal experimental design and some related control problems
Automatica (Journal of IFAC)
Non-asymptotic confidence regions for model parameters in the presence of unmodelled dynamics
Automatica (Journal of IFAC)
Bayesian system identification via Markov chain Monte Carlo techniques
Automatica (Journal of IFAC)
On resampling and uncertainty estimation in Linear System Identification
Automatica (Journal of IFAC)
Automation and Remote Control
Least-squares estimation of a class of frequency functions: A finite sample variance expression
Automatica (Journal of IFAC)
Guaranteed characterization of exact non-asymptotic confidence regions as defined by LSCR and SPS
Automatica (Journal of IFAC)
Hi-index | 22.16 |
In this paper we consider the problem of constructing confidence regions for the parameters of identified models of dynamical systems. Taking a major departure from the previous literature on the subject, we introduce a new approach called 'Leave-out Sign-dominant Correlation Regions' (LSCR) which delivers confidence regions with guaranteed probability. All results hold rigorously true for any finite number of data points and no asymptotic theory is involved. Moreover, prior knowledge on the noise affecting the data is reduced to a minimum. The approach is illustrated on several simulation examples, showing that it delivers practically useful confidence sets with guaranteed probabilities.