Recursive robust estimation of dynamic systems parameters

Article type: Research Article

Authors: Pupeikis, Rimantas

Affiliations: Institute of Mathematics and Informatics, Lithuanian Academy of Sciences, 2600 Vilnius, Akademijos St.4. Lithuania

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.

Keywords: recursive algorithm, outlier, robustness

DOI: 10.3233/INF-1991-2409

Journal: Informatica, vol. 2, no. 4, pp. 579-592, 1991