Conference Proceedings

Confidence Regions for Parameters of Errors-In-Variables Systems Using Sign-Perturbed Sums

MM Khorasani, E Weyer

2019 IEEE 58th Conference on Decision and Control (CDC) | IEEE | Published : 2020

Abstract

In this paper, the problem of constructing non-asymptotic confidence regions for Errors-In-Variables (EIV) systems is considered. In EIV systems both the input and the output measurements are noisy. The proposed method is based upon extending the Sign-Perturbed Sums (SPS) method with instrumental variables in [1] to EIV systems. The SPS method is a state-of-the-art identification method which provides non-asymptotic confidence regions containing the true parameter with a user-chosen probability under mild assumptions on noise. The existence of two noise sources in EIV problems makes the prediction error sequence dependent, and consequently the standard SPS method is not applicable. By adopti..

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