Off-line estimation of dynamic systems parameters in the presence of outliers in autoregressive noise

Article type: Research Article

Authors: Pupeikis, Rimantas

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

Abstract: In the previous paper (Pupeikis, 1992) the problem of off-line estimation of dynamic systems parameters in the presence of outliers in observations have been considered, when the filter generating an additive noise has a very special form. The aim of the given paper is the development, in such a case, of classical generalized least squares method (GLSM) algorithms for off-line estimation of unknown parameters of dynamic systems. Two approaches using batch processing of the stored data are worked out. The first approach is based on the application of S-, H-, W- algorithms used for calculation of M-estimates, and the second one rests on the replacement of the corresponding values of the sample covariance and cross-covariance functions by their robust analogues in respective matrices of GLSM and on a further application of the least squares (LS) parameter estimation algorithms. The results of numerical simulation by IBM PC/AT (Table 1) are given.

Keywords: dynamic system, parameter estimation, covariance analysis, outlier, robustness

DOI: 10.3233/INF-1993-41-206

Journal: Informatica, vol. 4, no. 1-2, pp. 94-110, 1993