Online Algorithms for the Construction of Guaranteed Confidence Sets for the Parameters of Time-varying Systems

The “Leave-out Sign-dominant Correlation Regions” (LSCR) algorithm is extended to deliver a guaranteed confidence set for the parameters of a time-varying system at any given time. The algorithm is derived by assuming that an upper bound on the parameter variation is available, and the delivered confidence set is valid without any prior knowledge of the noise. Simulation examples are provided to illustrate the performance of the algorithm.