Robust Kalman smoother for EIV state space model based on multivariate least trimmed squares estimator

DOI10.1093/IMAMCI/DNR022MaRDI QIDQ5390183zbMATH OpenOpenAlexFDO

Authors Jaafar AlMutawa

Publication date 27 April 2012

Published in IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imamci/dnr022

zbMATH Keywords

errors-in-variables state space modelKalman filter and smoothermultivariate least trimmed squaresoutliersrandom search algorithmsubsampling method

Mathematics Subject Classification ID

Combinatorial optimization (90C27) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

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Cited in

(2)

• Robust maximum likelihood estimation for stochastic state space model with observation outliers
• Robust Kalman filter and smoother for errors-in-variables state space models with observation outliers based on the minimum-covariance determinant estimator

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