Robust Frequency Domain ARMA Modelling
2005 (English)Report (Other academic)
In this paper a method for the rejection of frequency domain outliers is proposed. The algorithm is based on the work by Huber on M-estimators and the concept of influence function introduced by Hampel. The estimation takes placein the context of frequency domain continuous-time ARMA modelling, but the method can be also be applied to the discrete time case.
Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2005. , 12 p.
LiTH-ISY-R, ISSN 1400-3902 ; 2694
Robust estimation, Outlier rejection, Continuous-time, ARMA, CARMA, Frequency domain, Influence function, M-estimator
IdentifiersURN: urn:nbn:se:liu:diva-55817ISRN: LiTH-ISY-R-2694OAI: oai:DiVA.org:liu-55817DiVA: diva2:316512