Robust Frequency Domain ARMA Modelling
2006 (English)In: Proceedings of the 14th IFAC Symposium on System Identification, 2006, 380-385 p.Conference paper (Refereed)
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
2006. 380-385 p.
Robust estimation, Outlier rejection, Continuous-time, ARMA, CARMA, Frequency domain, Influence function, M-estimator
IdentifiersURN: urn:nbn:se:liu:diva-88982DOI: 10.3182/20060329-3-AU-2901.00056ISBN: 978-3-902661-02-9OAI: oai:DiVA.org:liu-88982DiVA: diva2:607474
14th IFAC Symposium on System Identification, Newcastle, Australia, March, 2006