Asymptotic Properties of Generalized Cross Validation Estimators for Regularized System Identification

Mu, Biqiang; Chen, Tianshi; Ljung, Lennart

doi:10.1016/j.ifacol.2018.09.130

Asymptotic Properties of Generalized Cross Validation Estimators for Regularized System Identification

In this paper, we study the asymptotic properties of the generalized cross validation (GCV) hyperparameter estimator and establish its connection with the Stein’s unbiased risk estimators (SURE) as well as the mean squared error (MSE). It is shown that as the number of data goes to infinity, the …