Robust estimation of autoregressive processes using a mixture-based filter-bank

DOI10.1016/J.SYSCONLE.2004.09.002MaRDI QIDQ2504528zbMATH OpenOpenAlexFDO

Authors Václav Smídl, Anthony Quinn, Miroslav Kárný, Tatiana Valentine Guy

Publication date 25 September 2006

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sysconle.2004.09.002

zbMATH Keywords

adaptive systemsBayesian estimationfilter-bankoutlier detectionprobabilistic mixturesrecursive estimation

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11)

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Cites work

• Application of the ICI principle to window size adaptive median filtering
• Bayesian system identification
• Estimation and prediction with ARMMAX model: a mixture of ARMAX models with common ARX part
• Factorization methods for discrete sequential estimation
• scientific article; zbMATH DE number 3814037 (Why is no real title available?)
• scientific article; zbMATH DE number 3560401 (Why is no real title available?)
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• scientific article; zbMATH DE number 3997615 (Why is no real title available?)
• Mixture‐based adaptive probabilistic control
• Probabilistic advisory systems for data‐intensive applications
• Statistical analysis of finite mixture distributions

Cited in

(3)

• Robust Burg estimation of stationary autoregressive mixtures covariance
• Fully probabilistic control for stochastic nonlinear control systems with input dependent noise
• Projection-based Bayesian recursive estimation of ARX model with uniform innovations

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