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  Robust Kalman Filtering

1 State-Space Models and Outliers

2 Classical Method: Kalman Filter

3 Robustifying Least Squares: the rLS filter

4 Robustified Regression: the rIC filter
1 Filtering Problem as a Regression Problem
2 Robust Regression Estimates
3 Variants: Separate Clipping
4 Criterion for the Choice of b
5 Examples
6 Possible Extensions

5 Excursion: Generating Multivariate Robust Influence Curves for Normal Scores

  Bibliography


folder TUTORIALS