Robust recursive estimation for correlated observations
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Publication:1892118
DOI10.1016/0167-7152(94)00098-SzbMath0831.62073MaRDI QIDQ1892118
Dennis K. J. Lin, Irwin Guttman
Publication date: 13 February 1996
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
outliers; Kalman filter; correlated observations; robust filter; mixture distribution; Box-Jenkins model; spurious observations; AR(2) process; ARMA(1,1) process; robust recursive estimation
62M20: Inference from stochastic processes and prediction
62F35: Robustness and adaptive procedures (parametric inference)
Cites Work
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