Recursive maximum likelihood estimation with \(t\)-distribution noise model

DOI10.1016/j.automatica.2021.109789zbMath1478.93684OpenAlexW3182331582MaRDI QIDQ2665639

Keck Voon Ling, Lu Sun, Tengpeng Chen, Weng Khuen Ho, 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 estimationinfluence functionrecursive estimation\(t\)-distribution noise

Mathematics Subject Classification ID

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

Related Items (2)

Maximum likelihood gradient‐based iterative estimation for closed‐loop Hammerstein nonlinear systems ⋮ Maximum likelihood interval-varying recursive least squares identification for output-error autoregressive systems with scarce measurements

Uses Software

• robustbase

Cites Work

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

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