Properties of the Characteristic Function Generator of the Two-State Cauchy Estimator

DOI10.1137/18M1191580;zbMath1426.93317MaRDI QIDQ5243166

Jason L. Speyer, Yu Bai, Moshe Idan

Publication date: 15 November 2019

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

Full work available at URL: https://epubs.siam.org/doi/pdf/10.1137/18M1191580

zbMATH Keywords

characteristic functionsCauchy probability density functionnonlinear estimation with heavy tailed noises

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05)

Cites Work

• Stochastic Estimation for Two-State Linear Dynamic Systems With Additive Cauchy Noises
• Cauchy Estimation for Linear Scalar Systems
• Robust and Trend-Following Student's t Kalman Smoothers
• Multivariate Cauchy Estimator with Scalar Measurement and Process Noises

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