Non-asymptotic model quality assessment of transfer functions at multiple frequency points

In this paper we develop methods for evaluating uncertainties in the frequency response of a dynamical system based on finitely many input-output data points. We extend the “Leave-out Sign-dominant Correlation Regions” (LSCR) algorithm to deliver confidence regions with a guaranteed probability for the frequency response at multiple frequency points, and we introduce a computationally efficient scheme which enables confidence regions to be constructed separately at each frequency. Simulation examples illustrating the usefulness of the developed algorithm are provided.