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Robust estimation with unknown noise statistics

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2 Author(s)
Z. M. Durovic ; Fac. of Electr. Eng., Belgrade Univ., Serbia ; B. D. Kovacevic

The equivalence between the Kalman filter and a particular least squares regression problem is established and the regression problem is solved robustly using a statistical approach, named M-estimation. M-robust estimators are derived for adaptive estimation of the unknown a priori state and observation noise statistics simultaneously with the system states. The feasibility of the approach is demonstrated with simulation

Published in:

IEEE Transactions on Automatic Control  (Volume:44 ,  Issue: 6 )