Title :
Using the bootstrap to estimate the variance in the case of undermodeling
Author :
Tjärnström, Fredrik ; Ljung, Lennart
Author_Institution :
Dept. of Electr. Eng., Linkoping Univ., Sweden
fDate :
2/1/2002 12:00:00 AM
Abstract :
This paper deals with the problem of estimating the variance of an undermodeled model. Undermodeling means that the model class used is not flexible enough to describe the underlying system. The proposed solution to the problem is an algorithm that is based on the bootstrap. A simulation example shows that the variance estimates based on the proposed algorithm are in very good agreement with Monte Carlo simulations
Keywords :
linear systems; minimisation; parameter estimation; probability; uncertain systems; bootstrap; identification; linear time-invariant systems; minimisation; model uncertainty; parameter estimation; probability density function; simulation; undermodeling; variance estimation; Automatic control; Computer aided software engineering; Control design; Error correction; Nonlinear filters; Predictive models; Signal generators; Uncertainty; Vectors; White noise;
Journal_Title :
Automatic Control, IEEE Transactions on
