Robust and Trend-Following Student's t Kalman Smoothers

DOI10.1137/130918861zbMath1338.60113arXiv1303.5588OpenAlexW2964061302MaRDI QIDQ5173266

Gianluigi Pillonetto, James V. Burke, Aleksandr Y. Aravkin

Publication date: 9 February 2015

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.5588

zbMATH Keywords

robust smoothersStudent's \(t\) distributionKalman smootherstrend-following smoothers

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Filtering in stochastic control theory (93E11) Numerical optimization and variational techniques (65K10) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Data smoothing in stochastic control theory (93E14)

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