How to Estimate Model Uncertainty in the Case of Under-Modelling
1990 (English)Report (Other academic)
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.
LiTH-ISY-I, ISSN 8765-4321 ; 1067
System identification, Model uncertainty, Under-modelling
IdentifiersURN: urn:nbn:se:liu:diva-104041OAI: oai:DiVA.org:liu-104041DiVA: diva2:694439