scientific article; zbMATH DE number 4176294

MaRDI QIDQ3200435zbMATH OpenFDO

Authors Daniel Peña, Irwin Guttman

Publication date 1988

zbMATH Keywords

outliersKalman filterBayesian forecastingrobust proceduresautoregressive time series estimation

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Probabilistic methods, stochastic differential equations (65C99) Inference from stochastic processes and prediction (62M20) Robustness and adaptive procedures (parametric inference) (62F35)

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Cited in

(10)

• The Kantorovich inequality for error analysis of the Kalman filter with unknown noise distributions
• On improving sensitivity of the Kalman filter.
• Bayesian forecast combination and Kalman filtering
• Bayesian approach for multi-mode Kalman filter for abnormal equation
• Outlier detection in the state space model
• On robust Kalman filtering
• Unified forms for Kalman and finite impulse response filtering and smoothing
• Bayesian Kalman filtering with elliptically contoured errors
• Approaches for the robustification of Kalman filters
• Bayesian estimation and the Kalman filter

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