Title :
Estimating the variance in case of undermodeling using bootstrap
Author :
Tjärnström, Fredrik ; Ljung, Lennart
Author_Institution :
Dept. of Electr. Eng., Linkoping Univ., Sweden
Abstract :
Simulation based methods have gained interest in the signal processing community. In this article we propose an algorithm to estimate the probability density function of some statistic associated with an identified model in the case of undermodeling. With this algorithm, we are thus able to estimate the variance error of any statistic associated with the model. We also give a simulation example, which shows that the estimates are in very good agreement with Monte Carlo simulations
Keywords :
Monte Carlo methods; covariance matrices; estimation theory; identification; probability; signal processing; bootstrap; probability density function; undermodeling; variance error; variance estimation; Accuracy; Automatic control; Computer aided software engineering; Error analysis; Maximum likelihood estimation; Probability density function; Signal processing algorithms; Statistics; Stochastic processes; Time measurement;
Conference_Titel :
Decision and Control, 1999. Proceedings of the 38th IEEE Conference on
Conference_Location :
Phoenix, AZ
Print_ISBN :
0-7803-5250-5
DOI :
10.1109/CDC.1999.831283
