Robust Kalman filter and its application in time series analysis

Tomáš Cipra; Ma.Rosario Romera Ayllón

Kybernetika (1991)

  • Volume: 27, Issue: 6, page 481-494
  • ISSN: 0023-5954

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Cipra, Tomáš, and Romera Ayllón, Ma.Rosario. "Robust Kalman filter and its application in time series analysis." Kybernetika 27.6 (1991): 481-494. <http://eudml.org/doc/27447>.

@article{Cipra1991,
author = {Cipra, Tomáš, Romera Ayllón, Ma.Rosario},
journal = {Kybernetika},
keywords = {time series analysis; robustification of Kalman filter; approximative recursive formulas; robust estimation; exact recursive formulas; steady model; AR(1) model; simulation study; strong consistency; autoregressive parameter},
language = {eng},
number = {6},
pages = {481-494},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Robust Kalman filter and its application in time series analysis},
url = {http://eudml.org/doc/27447},
volume = {27},
year = {1991},
}

TY - JOUR
AU - Cipra, Tomáš
AU - Romera Ayllón, Ma.Rosario
TI - Robust Kalman filter and its application in time series analysis
JO - Kybernetika
PY - 1991
PB - Institute of Information Theory and Automation AS CR
VL - 27
IS - 6
SP - 481
EP - 494
LA - eng
KW - time series analysis; robustification of Kalman filter; approximative recursive formulas; robust estimation; exact recursive formulas; steady model; AR(1) model; simulation study; strong consistency; autoregressive parameter
UR - http://eudml.org/doc/27447
ER -

References

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  23. Yu. Sh. Verulava, Convergence of a stochastic approximation algorithm for estimating an autoregressive parameter (in Russian), Avtomat. Telemekh. (1981), 7, 115-119. (1981) MR0647669

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