Robust recursive estimation for correlated observations

DOI10.1016/0167-7152(94)00098-SzbMath0831.62073OpenAlexW2020380827MaRDI QIDQ1892118

Irwin Guttman, Dennis K. J. Lin

Publication date: 13 February 1996

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(94)00098-s

zbMATH Keywords

outliersKalman filtercorrelated observationsrobust filtermixture distributionBox-Jenkins modelspurious observationsAR(2) processARMA(1,1) processrobust recursive estimation

Mathematics Subject Classification ID

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

Cites Work

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• Handling spuriosity in the Kalman filter
• Optimal collapsing of mixture distributions in robust recursive estimation
• Bayesian analysis of some outlier problems in time series
• A Bayesian approach to some outlier problems
• Analysis of correlated random effects: linear model with two random components

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