Robust M estimation of parameters in a linear system

DOI10.1080/09720529.2017.1358862OpenAlexW2756084928MaRDI QIDQ5069933

Zhaoxia Huang, Fucai Qian, Jun Liu

Publication date: 19 April 2022

Published in: Journal of Discrete Mathematical Sciences and Cryptography (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/09720529.2017.1358862

zbMATH Keywords

linear systemleast square methodexchangeable random variablesrobust M-estimation

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05)

Cites Work

• Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises
• Robust filtering under stochastic parametric uncertainties
• Mode-dependent \(H_\infty\) filtering for discrete-time Markovian jump linear systems with partly unknown transition probabilities
• Optimal recursive filtering, prediction, and smoothing for singular stochastic discrete-time systems
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