Properties of the characteristic function generator of the two-state Cauchy estimator

DOI10.1137/18M1191580;zbMATH Open1426.93317MaRDI QIDQ5243166FDOQ5243166

Authors Yu Bai, Jason L. Speyer, Moshe Idan

Publication date 15 November 2019

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://epubs.siam.org/doi/pdf/10.1137/18M1191580

zbMATH Keywords

characteristic functionsCauchy probability density functionnonlinear estimation with heavy tailed noises

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Linear systems in control theory (93C05) Estimation and detection in stochastic control theory (93E10)

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Cites work

• Cauchy Estimation for Linear Scalar Systems
• Multivariate Cauchy estimator with scalar measurement and process noises
• Robust and Trend-Following Student's t Kalman Smoothers
• Stochastic Estimation for Two-State Linear Dynamic Systems With Additive Cauchy Noises

Cited in

(2)

• Multivariate Cauchy estimator with scalar measurement and process noises
• State estimation for linear scalar dynamic systems with additive Cauchy noises: characteristic function approach

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