Robustizing Kalman filters with the M-estimating functions

被引：1
|
作者：
Pak, Ro Jin [1 ]
机构：
[1] Dankook Univ, Dept Appl Stat, 152 Jukjeon Ro, Yongin 16890, Gyeonggi Do, South Korea
来源：
COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS | 2018年 / 25卷 / 01期
关键词：
Kalman filter; M-estimation; redescending function; robust estimation;
D O I：
10.29220/CSAM.2018.25.1.099
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This article considers a robust Kalman filter from the M-estimation point of view. Pak (Journal of the Korean Statistical Society, 27, 507-514, 1998) proposed a particular M-estimating function which has the data-based shaping constants. The Kalman filter with the proposed M-estimating function is considered. The structure and the estimating algorithm of the Kalman filter accompanying the M-estimating function are mentioned. Kalman filter estimates by the proposed M-estimating function are shown to be well behaved even when data are contaminated.
引用
收藏
页码：99 / 107
页数：9
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