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A new robust estimation approach: An extended threshold M-estimator procedure

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3 Author(s)
Corbier, C. ; Lab. des Sci. de l''Inf. et des Syst., ENSAM, Aix-en-Provence, France ; Carmona, J.-C. ; Alvarado, V.A.

In order to tackle more efficiently the parameters estimation of an Output Error (OE) models contaminated by outliers, we propose to extend the range of the scaling factor of a parameterized robust estimation criterion (PREC) in the Huber's M-estimates context based on a mixed norm. Moreover, since the gradient and the Hessian of the PREC present a nonlinear structure in the OE models, we propose a new method to establish an L-Finite Taylor's Expansion of these expressions in order to provide the asymptotic covariance matrix of the robust estimator. We present the results of a Monte Carlo study and we compare some robust methods with respect to our procedure.

Published in:

Electrical Engineering Computing Science and Automatic Control (CCE), 2011 8th International Conference on

Date of Conference:

26-28 Oct. 2011