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A Non-Asymptotic Approach to Local Modelling
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Institute of Control Sciences, Russia.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2003 (English)Report (Other academic)
Abstract [en]

Local models and methods construct function estimates or predictions from observations in a local neighborhood of the point of interest. The bandwidth, i.e., how large the local neighborhood should be, is often determined based on asymptotic analysis. In this paper, an alternative, non-asymptotic approach that minimizes a uniform upper bound on the mean square error for a linear estimate is proposed. It is shown, for the scalar case, that the solution is obtained from a quadratic program, and that it maintains many of the key features of the asymptotic approaches. Moreover, examples show that the proposed approach in some cases is superior to an asymptotically based local linear estimator.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2003. , 12 p.
Series
LiTH-ISY-R, ISSN 1400-3902 ; 2482
Keyword [en]
Mean square error methods, Modeling, Bandwidth, System identification
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-55902ISRN: LiTH-ISY-R-2482OAI: oai:DiVA.org:liu-55902DiVA: diva2:316631
Available from: 2010-04-30 Created: 2010-04-30 Last updated: 2014-09-05Bibliographically approved

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Roll, JacobLjung, Lennart

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf