DocumentCode
1744191
Title
Non-asymptotic confidence ellipsoids for the least squares estimate
Author
Weyer, Erik ; Campi, M.C.
Author_Institution
Dept. of Electr. & Electron. Eng., Melbourne Univ., Parkville, Vic., Australia
Volume
3
fYear
2000
fDate
2000
Firstpage
2688
Abstract
In this paper we consider the finite sample properties of least squares system identification, and we derive nonasymptotic confidence ellipsoids for the estimate. Unlike asymptotic theory, the obtained confidence ellipsoids are valid for a finite number of data points. The probability that the estimate belongs to a certain ellipsoid has a natural dependence on the volume of the ellipsoid, the data generating mechanism, the model order and the number of data points available
Keywords
identification; least squares approximations; LSA; asymptotic theory; confidence ellipsoids; data generating mechanism; data points; least squares estimate; least squares system identification; model order; nonasymptotic confidence ellipsoids; Automation; Ellipsoids; Least squares approximation; Least squares methods; Linear systems; Random variables; Signal generators; Stability; System identification; Transfer functions;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2000. Proceedings of the 39th IEEE Conference on
Conference_Location
Sydney, NSW
ISSN
0191-2216
Print_ISBN
0-7803-6638-7
Type
conf
DOI
10.1109/CDC.2000.914211
Filename
914211
Link To Document