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http://dx.doi.org/10.29220/CSAM.2018.25.1.099

Robustizing Kalman filters with the M-estimating functions  

Pak, Ro Jin (Department of Applied Statistics, Dankook University)
Publication Information
Communications for Statistical Applications and Methods / v.25, no.1, 2018 , pp. 99-107 More about this Journal
Abstract
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.
Keywords
Kalman filter; M-estimation; redescending function; robust estimation;
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Times Cited By KSCI : 1  (Citation Analysis)
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