Non-asymptotic confidence ellipsoids for the least squares estimate

Proceedings of the IEEE Conference on Decision and Control

Volumn 3, Issue , 2000, Pages 2688-2693

  Weyer, E ^a   Campi, M C ^a  

^a UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Confidence ellipsoids; Finite sample properties; Least squares; System identification

Indexed keywords

ASYMPTOTIC STABILITY; LEAST SQUARES APPROXIMATIONS; MATHEMATICAL MODELS; PROBABILITY;

CONFIDENCE ELLIPSOID; FINITE SAMPLE PROPERTIES;

IDENTIFICATION (CONTROL SYSTEMS);

EID: 0034440030     PISSN: 01912216     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (8)

1. Nonparametric statistics for stochastic processes - Estimation and prediction
2. Finite sample properties of system identification methods
3. Uncertainty bounds for parameter identification with small sample sizes
4. Finite sample properties of system identification of ARX models under mixing conditions
5. Finite sample properties of system identification methods
6. Finite sample properties of linear model identification