Journal article
A random least-trimmed-squares identification algorithm
Automatica (Oxford), Vol.39(9), pp.1651-1659
2003
DOI: 10.1016/S0005-1098(03)00193-6
Abstract
The Least-trimmed-squares (LTS) estimator is a well known robust estimator in terms of protecting the estimate from the outliers. Its high computational complexity is however a problem in practice. In this paper, we propose a random LTS algorithm which has a low computational complexity that can be calculated a priori as a function of the required error bound and the confidence interval. Moreover, if the number of data points goes to infinite, the algorithm becomes a deterministic one that converges to the true LTS in some probability sense.
Details
- Title: Subtitle
- A random least-trimmed-squares identification algorithm
- Creators
- Er-Wei Bai - Department of Electrical and Computer Engineering, University of Iowa, Iowa City, IA 52242, USA
- Resource Type
- Journal article
- Publication Details
- Automatica (Oxford), Vol.39(9), pp.1651-1659
- Publisher
- Elsevier Ltd
- DOI
- 10.1016/S0005-1098(03)00193-6
- ISSN
- 0005-1098
- eISSN
- 1873-2836
- Language
- English
- Date published
- 2003
- Academic Unit
- Electrical and Computer Engineering
- Record Identifier
- 9984083292902771
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