Optimal collapsing of mixture distributions in robust recursive estimation

DOI10.1080/03610928908829936MaRDI QIDQ3473158zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• scientific article; zbMATH DE number 3573103 (Why is no real title available?)
• A Bayesian approach to some outlier problems
• A Predictive View of the Detection and Characterization of Influential Observations in Regression Analysis
• A suboptimal estimation algorithm with probabilistic editing for false measurements with applications to target tracking with wake phenomena
• Approximate non-Gaussian filtering with linear state and observation relations
• Bayesian analysis of some outlier problems in time series
• Care and Handling of Univariate or Multivariate Outliners in Detecting Spuriosity: A Bayesian Approach
• Dynamic Generalized Linear Models and Bayesian Forecasting
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Optimization of stochastic systems. Topics in discrete-time systems
• Recursive Bayesian estimation using Gaussian sums
• Robust bayesian estimation for the linear model and robustifying the Kalman filter
• Statistical analysis of finite mixture distributions
• Statisticians are Fairly Robust Estimators of Location
• Tracking methods in a multitarget environment

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
• scientific article; zbMATH DE number 61455 (Why is no real title available?)
• Handling spuriosity in the Kalman filter
• Kalman filter with a non-linear non-Gaussian observation relation

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