Kalman filter with outliers and missing observations

DOI10.1007/BF02564705zbMath0893.62094MaRDI QIDQ1382951

Tomáš Cipra, Rosario Romera

Publication date: 1 April 1998

Published in: Test (Search for Journal in Brave)

zbMATH Keywords

outlierstime seriesmissing observations\(M\)-estimationdiscrete Kalman filterAR(l) process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Robustness and adaptive procedures (parametric inference) (62F35) Filtering in stochastic control theory (93E11)

Related Items (9)

Computational aspects of robust Holt-Winters smoothing based on \(M\)-estimation. ⋮ Sensitivity of the portmanteau statistic in time series modeling ⋮ Robust estimation of linear state space models ⋮ Output outlier robust state estimation ⋮ Forecasting time series with multiple seasonal patterns ⋮ APPLYING STATE SPACE MODELS TO STOCHASTIC CLAIMS RESERVING ⋮ Robust forecasting with exponential and Holt-Winters smoothing ⋮ Forecasting time series with missing data using Holt's model ⋮ Pricing and hedging of inflation-indexed bonds in an affine framework

Uses Software

• AS 154

Cites Work

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• Robust Estimation of a Location Parameter
• Robust Statistics

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