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Using the bootstrap to estimate the variance in the case of undermodeling

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2 Author(s)
Tjarnstrom, F. ; Dept. of Electr. Eng., Linkoping Univ., Sweden ; Ljung, L.

This paper 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

Published in:

Automatic Control, IEEE Transactions on  (Volume:47 ,  Issue: 2 )