Robust filtering

DOI10.1080/01621459.2014.983520zbMATH Open1378.62091OpenAlexW4230240572WikidataQ56609289 ScholiaQ56609289MaRDI QIDQ5367471FDOQ5367471

Authors: Laurent E. Calvet, Veronika Czellar, Elvezio Ronchetti 

Publication date: 13 October 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2014.983520

Recommendations

• scientific article; zbMATH DE number 502963
• Model robustness of finite state nonlinear filtering over the infinite time horizon
• Approaches for the robustification of Kalman filters
• Sequential Monte Carlo methods for nonlinear discrete-time filtering
• Bayesian robust optimal linear filters

zbMATH Keywords

Kalman filterstate-space modelparticle filterrobust statisticsrobust filteringweight degeneracy

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Inference from stochastic processes and prediction (62M20)

Cited In (17)

• Outlier resistant filtering and smoothing
• Robust Kalman and Bayesian Set-Valued Filtering and Model Validation for Linear Stochastic Systems
• Penalized likelihood smoothing in robust state space models.
• Score-Driven Modeling of Spatio-Temporal Data
• A robust score-driven filter for multivariate time series
• Title not available (Why is that?)
• Robust statistics: a selective overview and new directions
• Bayesian robust optimal linear filters
• Robust state space models for estimating fish stock maturities
• Filtering With Heavy Tails
• Robust filtering and propagation of uncertainty in hidden Markov models
• Deep filtering
• Fast robust methods for singular state-space models
• Robust particle filter -- anti-zero bias modification
• Adaptive kernels in approximate filtering of state-space models
• Robust Two-Step Wavelet-Based Inference for Time Series Models
• Filtering with state-observation examples via kernel Monte Carlo filter

This page was built for publication: Robust filtering

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5367471)