Fast robust methods for singular state-space models

DOI10.1016/j.automatica.2019.04.015zbMath1429.93382arXiv1803.02525OpenAlexW2964049641WikidataQ127911709 ScholiaQ127911709MaRDI QIDQ2280717

Sarah Webster, Gianluigi Pillonetto, James V. Burke, Aleksandr Y. Aravkin, Jonathan Jonker

Publication date: 19 December 2019

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.02525

zbMATH Keywords

time series analysisKalman filtering and smoothingsingular state-space models

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Sensitivity (robustness) (93B35) Time-scale analysis and singular perturbations in control/observation systems (93C70) Data smoothing in stochastic control theory (93E14)

Uses Software

• UNLocBoX
• FinTS

Cites Work

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