On practical implementation of robust kalman filtering

DOI10.1080/03610919508813252zbMath0850.62688OpenAlexW2090560380MaRDI QIDQ4861303

Tomáš Cipra, Rosario Romera

Publication date: 10 January 1996

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919508813252

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Probabilistic methods, stochastic differential equations (65C99)

Related Items (8)

Computational aspects of robust Holt-Winters smoothing based on \(M\)-estimation. ⋮ Exponential smoothing based on L-estimation ⋮ On the optimal control of stochastic linear systems with contaminated partial observations ⋮ Dynamic credibility with outliers and missing observations ⋮ Kalman filter with outliers and missing observations ⋮ Robust recursive estimation in nonlinear time series ⋮ Robust forecasting with exponential and Holt-Winters smoothing ⋮ An Adaptive Extended Kalman Filter with Application to Compartment Models

Cites Work

• Estimation, control, and the discrete Kalman filter
• Stochastic processes and filtering theory
• Numerical aspects of different Kalman filter implementations
• Recursive estimation in the presence of uniformly distributed measurement noise
• Approximate non-Gaussian filtering with linear state and observation relations
• Square-root algorithms for least-squares estimation
• The Kalman filter: A robust estimator for some classes of linear quadratic problems
• Robust bayesian estimation for the linear model and robustifying the Kalman filter
• Robust Estimation of a Location Parameter
• Robust Statistics
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