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Recursive robust estimation of dynamic systems parameters
Volume 2, Issue 4 (1991), pp. 579–592
Rimantas Pupeikis  

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https://doi.org/10.3233/INF-1991-2409
Pub. online: 1 January 1991      Type: Research Article     

Published
1 January 1991

Abstract

In the previous paper (Pupeikis, 1990) the problem of model order determination in the presence of outliers in observations has been considered. The aim of the given paper is the development of the recursive algorithms of computation of M-estimates ensuring their stability conditions. In this connection the approach, based on adaptive Huber's monotone psi-function, is worked out. It is also used for the detection of the outliers in time series and for the correction both outliers and M-estimates during successive calculations. The results of numerical simulation by computer (Fig. 1 and Table 1) are given.

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Keywords
recursive algorithm outlier robustness

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INFORMATICA

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