Recursive Determination of Parameter Uncertainty Intervals for Linear Models with Unknown But Bounded Errors

Abstract This paper proposes a new recursive method for determining parameter uncertainty intervals in the case of linear regression models with unknown but bounded errors. This method is based on the recursive construction of an orthotopic outer bounding approximation of the parameter membership set The orthotope center can be considered as the current estimate and the co-ordinates of the orthotope vertices directly provide the parameter uncertainty intervals. The proposed recursive estimation method is characterized by a small computational complexity. Simulation results are presented to illustrate the behavior of this method and to show its remarkable properties in terms of robustness with respect to measurement noise.

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