Undermodelling Detection with Sign-Perturbed Sums

Carè, Algo and Campi, Marco and Csáji, Balázs Csanád and Weyer, Erik (2017) Undermodelling Detection with Sign-Perturbed Sums. In: 20th IFAC World Congress, July 9-14, 2017, Toulouse, France.

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Sign-Perturbed Sums (SPS) is a finite sample system identification method that can build exact confidence regions for the unknown parameters of linear systems under mild statistical assumptions. Theoretical studies of the SPS method have assumed so far that the order of the system model is known to the user. In this paper we discuss the implications of this assumption for the applicability of the SPS method, and we propose an extension that, under mild assumptions, i) still delivers guaranteed confidence regions when the model order is correct, and ii) it is guaranteed to detect, in the long run, if the model order is wrong.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: system identification, confidence regions, finite sample results, least squares, parameter estimation, distribution-free results
Subjects: Q Science / természettudomány > QA Mathematics / matematika > QA75 Electronic computers. Computer science / számítástechnika, számítógéptudomány
T Technology / alkalmazott, műszaki tudományok > TK Electrical engineering. Electronics Nuclear engineering / elektrotechnika, elektronika, atomtechnika
Depositing User: Dr. Balázs Csanád Csáji
Date Deposited: 05 Oct 2018 06:31
Last Modified: 05 Oct 2018 06:38

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