Recursive maximum likelihood estimation with t-distribution noise model

DOI10.1016/J.AUTOMATICA.2021.109789zbMATH Open1478.93684OpenAlexW3182331582MaRDI QIDQ2665639FDOQ2665639

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

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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)

Cites Work

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

Cited In (5)

• Recursive max-linear models with propagating noise
• Maximum likelihood interval-varying recursive least squares identification for output-error autoregressive systems with scarce measurements
• Robust maximum likelihood estimation for stochastic state space model with observation outliers
• 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

Uses Software

• robustbase

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