Robust Kalman tracking and smoothing with propagating and non-propagating outliers

DOI10.48550/ARXIV.1204.3358zbMath1284.93234arXiv1204.3358OpenAlexW3104355006MaRDI QIDQ123767

Peter Ruckdeschel, Daria Pupashenko, Bernhard Spangl, Peter Ruckdeschel, Bernhard Spangl, Daria Pupashenko

Publication date: 16 April 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.3358

zbMATH Keywords

robustnessextended Kalman filterKalman filteringKalman smootherpropagating outliers

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Filtering in stochastic control theory (93E11)

Related Items (7)

Robust estimation of linear state space models ⋮ Output outlier robust state estimation ⋮ Robust Two-Step Wavelet-Based Inference for Time Series Models ⋮ Real Time Anomaly Detection And Categorisation ⋮ RobKF ⋮ Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data ⋮ Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns

Uses Software

• R
• CRAN
• mvtnorm
• MASS (R)
• robfilter
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Cites Work

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• An extension of the SRIF Kalman filter
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• Ideal spatial adaptation by wavelet shrinkage
• Robust Estimation of a Location Parameter

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