Robust estimation iin time series: an approximation to the gaussian sum filter

DOI10.1080/03610929408831459zbMath0825.62248OpenAlexW2093896665MaRDI QIDQ4843850

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Publication date: 17 August 1995

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929408831459

zbMATH Keywords

Kalman filteradditive outliersrobust estimationGaussian sumslocal level modelcollapsing mixturesstep jumps

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

An Adaptive Extended Kalman Filter with Application to Compartment Models

Cites Work

• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Approximate non-Gaussian filtering with linear state and observation relations
• Robust bayesian estimation for the linear model and robustifying the Kalman filter

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