Non-Asymptotic Confidence Regions for the Least-Squares Estimate
نویسندگان
چکیده
منابع مشابه
Non-Asymptotic Confidence Regions for the Least-Squares Estimate
We propose a new finite sample system identification method, called Sign-Perturbed Sums (SPS), to estimate the parameters of dynamical systems under mild statistical assumptions. The proposed method constructs non-asymptotic confidence regions that include the leastsquares (LS) estimate and are guaranteed to contain the true parameters with a user-chosen exact probability. Our method builds on ...
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ژورنال
عنوان ژورنال: IFAC Proceedings Volumes
سال: 2012
ISSN: 1474-6670
DOI: 10.3182/20120711-3-be-2027.00417