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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.
Date of Conference: 26-28 Oct. 2011