Multivariate Cauchy estimator with scalar measurement and process noises

DOI10.1137/120891897MaRDI QIDQ5494910zbMATH OpenOpenAlexFDO

Authors Moshe Idan, Jason L. Speyer

Publication date 30 July 2014

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

Full work available at URL https://doi.org/10.1137/120891897

zbMATH Keywords

Cauchy probability density functioncharacteristic functionsnonlinear estimation with heavy-tailed noises

Mathematics Subject Classification ID

Sequential estimation (62L12) Linear systems in control theory (93C05) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

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Cited in

(12)

• Design of measurement difference autocovariance method for estimation of process and measurement noise covariances
• Receding horizon least squares estimator with application to estimation of process and measurement noise covariances
• Maximum conditional probability stochastic controller for linear systems with additive Cauchy noises
• Laplace estimation for scalar linear systems
• State estimation for linear scalar dynamic systems with additive Cauchy noises: characteristic function approach
• Corrected reprint of: A stochastic controller for a scalar linear system with additive Cauchy noise
• A stochastic controller for a scalar linear system with additive Cauchy noise
• Multivariate estimator for linear dynamical systems with additive Laplace measurement and process noises
• A note on hyper-plane arrangements in \(\mathbb{R}^d\)
• An estimation approach for linear stochastic systems based on characteristic functions
• Properties of the characteristic function generator of the two-state Cauchy estimator
• Nonlinear Bayesian filtering via holonomic gradient method with quasi moment generating function

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