Robust recursive estimation in the presence of heavy-tailed observation noise

DOI10.1214/aos/1176325511zbMath0815.62014OpenAlexW2007249861MaRDI QIDQ1339708

Sanjoy K. Mitter, Irvin Cemil Schick

Publication date: 29 June 1995

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176325511

zbMATH Keywords

outliersrobustnessasymptotic expansiontime seriesKalman filterfirst-order approximationrecursive estimatorconditional mean estimationconditional priordiscrete-time stochastic linear dynamic systemsepsilon- contaminated normal distributionoptimal smoothers

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Robustness and adaptive procedures (parametric inference) (62F35)

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