Point estimation, stochastic approximation, and robust Kalman filtering (Q4026318)
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scientific article; zbMATH DE number 124698
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| English | Point estimation, stochastic approximation, and robust Kalman filtering |
scientific article; zbMATH DE number 124698 |
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21 February 1993
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Kalman filter
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non-Gaussian noises
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0.8542200922966003
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0.8531485199928284
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0.8350306153297424
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0.8248202800750732
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0.8242514133453369
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Point estimation, stochastic approximation, and robust Kalman filtering (English)
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[For the entire collection see Zbl 0745.00051.] The performance of the Kalman filter in the presence of non-Gaussian noises is considered. Due to the severe performance deterioration when noises with heavy-tailed density functions are present, authors try minimax estimation techniques for robustification purposes. They also show relationships between this minimax approach, stochastic approximation, and an estimator found by asymptotic expansion.
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