Recursive maximum likelihood estimation with t-distribution noise model

DOI10.1016/J.AUTOMATICA.2021.109789MaRDI QIDQ2665639zbMATH OpenOpenAlexFDO

Authors Lu Sun, Weng Khuen Ho, Keck Voon Ling, Tengpeng Chen, Jan M. Maciejowski

Publication date 19 November 2021

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2021.109789

zbMATH Keywords

maximum likelihood estimationrecursive estimationinfluence function\(t\)-distribution noise

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10)

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Cites work

• Generalized Kalman smoothing: modeling and algorithms
• Multivariate T-Distributions and Their Applications
• Numerical linear algebra: theory and applications
• Penalized likelihood smoothing in robust state space models.
• Receding horizon recursive state estimation
• Robust Statistics
• Robust Statistics
• Robust and Trend-Following Student's t Kalman Smoothers
• Student's \(t\)-distribution and related stochastic processes

Cited in

(5)

• Robust maximum likelihood estimation for stochastic state space model with observation outliers
• Recursive max-linear models with propagating noise
• Maximum likelihood gradient‐based iterative estimation for closed‐loop Hammerstein nonlinear systems
• Discrete-time linear skew-Gaussian system and its recursive fixed-dimensional exact density filtering
• Maximum likelihood interval-varying recursive least squares identification for output-error autoregressive systems with scarce measurements

Describes a project that uses

Uses Software

• robustbase

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