Credible Uncertainty Quantification under Noise and System Model Mismatch
State estimators often provide self-assessed uncertainty metrics, such as covariance matrices, whose reliability is critical for downstream tasks. However, these self-assessments can be misleading due to underlying modeling violations like noise or system model mismatch. This letter addresses the problem of estimator credibility by introducing a unified, multi-metric evaluation framework. We construct a compact credibility portfolio that synergistically combines traditional metrics like the Nor…
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