Using the Bootstrap to Estimate the Variance in the Case of Undermodeling
2002 (English)In: IEEE Transactions on Automatic Control, ISSN 0018-9286, E-ISSN 1558-2523, Vol. 47, no 2, 395-398 p.Article in journal (Refereed) Published
This note deals with the problem of estimating the variance of an undermodeled model. Undermodeling means that the model class used is not flexible enough to describe the underlying system. The proposed solution to the problem is an algorithm that is based on the bootstrap. A simulation example shows that the variance estimates based on the proposed algorithm are in very good agreement with Monte Carlo simulations.
Place, publisher, year, edition, pages
2002. Vol. 47, no 2, 395-398 p.
Bootstrap, Identification, Model uncertainty, Simulation-based methods, Undermodeling
IdentifiersURN: urn:nbn:se:liu:diva-47116DOI: 10.1109/9.983387OAI: oai:DiVA.org:liu-47116DiVA: diva2:268012