Testing Estimator's Credibility - Part II: Other Tests*

Abstract

For pt.I see ibid., p.Z001330-7 (2006). Many estimators and filters provide assessments of their own estimation error. Are these self-assessments trustable? What is the degree to which they are trustable? This is Part II of a two-part series that provides answers to some of these questions, referred to as the credibility of the estimators. It proposes several tests for credibility and a test-based solution to the problem of comparing estimators' credibility. Numerical examples are provided to illustrate the utility and effectiveness of the proposed tests