Non-asymptotic con dence ellipsoids for the least squares estimate
نویسنده
چکیده
In this paper we consider the nite sample properties of least squares system identi cation, and we derive non-asymptotic con dence ellipsoids for the estimate. Unlike asymptotic theory, the obtained con dence ellipsoids are valid for a nite 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.
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تاریخ انتشار 2000