Robust continuous-time smoothers without two-sided stochastic integrals

DOI10.1109/TAC.2002.804481MaRDI QIDQ5267016zbMATH OpenOpenAlexFDO

Authors Vikram Krishnamurthy, Robert J. Elliott

Publication date 20 June 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2002.804481

Mathematics Subject Classification ID

Point estimation (62F10) Stochastic integrals (60H05) Estimation and detection in stochastic control theory (93E10)

Recommendations

• Continuous-time and continuous-discrete-time unscented Rauch-Tung-Striebel smoothers
• A robust continuous-time fixed-lag smoother for nonlinear uncertain systems
• Robust non-parametric smoothing of non-stationary time series
• An $\ell _{1}$-Laplace Robust Kalman Smoother
• Robust fixed-lag smoothing under model perturbations
• scientific article; zbMATH DE number 3940596
• Doubly Robust Smoothing of Dynamical Processes via Outlier Sparsity Constraints
• A new computationally efficient fixed-interval, discrete-time smoother
• The$H_infty$Fixed-Interval Smoothing Problem for Continuous Systems

Cited in

(2)

• Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
• Fixed-interval smoothing problem from uncertain observations with correlated signal and noise

This page was built for publication: Robust continuous-time smoothers without two-sided stochastic integrals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5267016)