Optimal collapsing of mixture distributions in robust recursive estimation

DOI10.1080/03610928908829936zbMATH Open0696.62169OpenAlexW1982259085MaRDI QIDQ3473158FDOQ3473158

Authors: Daniel Peña, Irwin Guttman 

Publication date: 1989

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928908829936

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zbMATH Keywords

Kullback-Leibler distancerobust Kalman filteringspurious observationsposterior and predictive distributionsmixture noise distributions

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Statistical analysis of finite mixture distributions
• Dynamic Generalized Linear Models and Bayesian Forecasting
• Title not available (Why is that?)
• A Bayesian approach to some outlier problems
• Robust bayesian estimation for the linear model and robustifying the Kalman filter
• Approximate non-Gaussian filtering with linear state and observation relations
• Optimization of stochastic systems. Topics in discrete-time systems
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Recursive Bayesian estimation using Gaussian sums
• A Predictive View of the Detection and Characterization of Influential Observations in Regression Analysis
• Bayesian analysis of some outlier problems in time series
• Tracking methods in a multitarget environment
• Title not available (Why is that?)
• Care and Handling of Univariate or Multivariate Outliners in Detecting Spuriosity: A Bayesian Approach
• Statisticians are Fairly Robust Estimators of Location
• A suboptimal estimation algorithm with probabilistic editing for false measurements with applications to target tracking with wake phenomena

Cited In (8)

• Mixtures of skewed Kalman filters
• Variance estimation and ranking of target tracking position errors modeled using Gaussian mixture distributions
• Dynamic credibility with outliers and missing observations
• Robust recursive estimation for correlated observations
• Track fitting with non-Gaussian noise
• Title not available (Why is that?)
• Handling spuriosity in the Kalman filter
• Kalman filter with a non-linear non-Gaussian observation relation

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