Sign-Perturbed Sums: A New System Identification Approach for Constructing Exact Non-Asymptotic Confidence Regions in Linear Regression Models

Balázs Cs. Csáji, Marco C. Campi, Erik Weyer

We propose a new system identification method, called Sign-Perturbed Sums (SPS), for constructing non-asymptotic confidence regions under mild statistical assumptions. SPS is intro…