Signed-Perturbed Sums Estimation of ARX Systems: Exact Coverage and Strong Consistency (Extended Version)

no code implementations • 18 Feb 2024 • Algo Carè, Erik Weyer, Balázs Cs. Csáji, Marco C. Campi

Sign-Perturbed Sums (SPS) is a system identification method that constructs confidence regions for the unknown system parameters.

Sign-Perturbed Sums: A New System Identification Approach for Constructing Exact Non-Asymptotic Confidence Regions in Linear Regression Models

no code implementations • 22 Jul 2018 • Balázs Cs. Csáji, Marco C. Campi, Erik Weyer

We propose a new system identification method, called Sign-Perturbed Sums (SPS), for constructing non-asymptotic confidence regions under mild statistical assumptions.