Bombois, Xavier; Anderson, Brian; Gevers, Michel
This paper considers prediction error identification of linearly parametrized models in the situation where the system is in the model set. For such situation it is easy to construct a confidence ellipsoid in parameter space in which the true parameter lies with an a priori fixed probability level, α. Surprisingly perhaps, the construction of a corresponding uncertainty set in the frequency domain, to which the true system belongs with probability α, is still an open problem. We show in this...[Show more]
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