A random least-trimmed-squares identification algorithm (Q1400949)
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scientific article; zbMATH DE number 1965021
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A random least-trimmed-squares identification algorithm |
scientific article; zbMATH DE number 1965021 |
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A random least-trimmed-squares identification algorithm (English)
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17 August 2003
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The least-trimmed-squares (LTS) estimator is a robust estimator in terms of protecting the estimate from the outliers, but it possesses a high computational complexity. The author proposes a random LTS algorithm having a low computational complexity and that can be calculated a priori as a function of the required error bound and the confidence interval. If the number of data points goes to infinity then the algorithm becomes a deterministic one, converging to the true LTS in some probability sense.
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least squares estimation
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least trimmed squares estimation
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random algorithms
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system identification
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parameter estimation
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