Multivariate Cauchy Estimator with Scalar Measurement and Process Noises

DOI10.1137/120891897zbMath1292.93126OpenAlexW2151296344MaRDI QIDQ5494910

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

characteristic functionsCauchy probability density functionnonlinear estimation with heavy-tailed noises

Mathematics Subject Classification ID

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

Related Items (8)

Multivariate Estimator for Linear Dynamical Systems with Additive Laplace Measurement and Process Noises ⋮ A Note on Hyper-Plane Arrangements in R^d ⋮ Laplace estimation for scalar linear systems ⋮ 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 ⋮ An estimation approach for linear stochastic systems based on characteristic functions ⋮ Maximum conditional probability stochastic controller for linear systems with additive Cauchy noises ⋮ Properties of the Characteristic Function Generator of the Two-State Cauchy Estimator

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