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How to Estimate Model Uncertainty in the Case of Under-Modelling
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
1990 (English)Report (Other academic)
Abstract [en]

In System Identification, traditionally, the uncertainty estimate provided with the model is based on the assumption that the model structure used is capable of achieving a correct system description. This estimate is however not correct unless the parameter estimate is close to a "true" model parameter, that yields white noise residuals. The correct expression is known but more complex. The main difficulty, though, is that it is not easily estimated. We suggest a simple and explicit method for estimating the model uncertainty, applicable also to severe under-modelling. The method is illustrated by an example.

Place, publisher, year, edition, pages
Linköping: Linköping University , 1990. , 5 p.
Series
LiTH-ISY-I, ISSN 8765-4321 ; 1067
Keyword [en]
System identification, Model uncertainty, Under-modelling
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-104041OAI: oai:DiVA.org:liu-104041DiVA: diva2:694439
Available from: 2014-02-06 Created: 2014-02-06 Last updated: 2014-02-06

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Ljung, Lennart

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