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ESTIMATOR’S CREDIBILITY AND ITS MEASURES
X. Rong Li Zhanlue Zhao Vesselin P. Jilkov
University of New Orleans, Department of Electrical Engineering
New Orleans, LA 70148, USA
Phone: 504-280-7416, Fax: 504-280-3950, E-mail: xli@uno.edu
Most estimators and filters provide assessments of their own estimation errors. Are these self-assessments trustable? To what degree are they trustable? This paper provides practical answers to such questions, referred to as the credibility of the estimators and filters. It formulates the concept of credibility and proposes practical measures of credibility with justifications. Numerical examples are provided to illustrate the use of the measures.
Keywords: Estimation, Filtering, Performance Evaluation
Session slot T-Fr-M01: Bias / Variance Issues in Identification/Area code 3a : Modelling, Identification and Signal Processing
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