Filtering of the ARMAX process with generalized t -distribution noise : the influence function approach

• Main Authors: Ho, Weng Khuen, Ling, Keck Voon, Vu, Hoang Dung, Wang, Xiaoqiong
• Other Authors: School of Electrical and Electronic Engineering
• Format: Article
• Language: English
• Published: 2014
• Subjects: DRNTU::Engineering::Electrical and electronic engineering
• Online Access: https://hdl.handle.net/10356/103383; http://hdl.handle.net/10220/19958
• Institution: Nanyang Technological University

The commonly made assumption of Gaussian noise is an approximation to reality. In this paper, influence function, an analysis tool in robust statistics, is used to formulate a recursive solution for the filtering of the ARMAX process with generalized t-distribution noise. By being a superset encompa...