Journal article
Outliers, inliers and the generalized least trimmed squares estimator in system identification
Journal of control theory and applications, Vol.1(1), pp.17-27
11/01/2003
DOI: 10.1007/s11768-003-0004-4
Abstract
The least trimmed squares estimator (LTS) 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. We show that the LTS estimate can be obtained by a simple algorithm with the complexity 0(N ln N) for large N, where N is the number of measurements. We also show that though the LTS is robust in terms of the outliers, it is sensitive to the inliers. The concept of the inliers is introduced. Moreover, the Generalized Least Trimmed Squares estimator (GLTS) together with its solution are presented that reduces the effect of both the outliers and the inliers.
Details
- Title: Subtitle
- Outliers, inliers and the generalized least trimmed squares estimator in system identification
- Creators
- Erwei Bai
- Resource Type
- Journal article
- Publication Details
- Journal of control theory and applications, Vol.1(1), pp.17-27
- DOI
- 10.1007/s11768-003-0004-4
- ISSN
- 1672-6340
- eISSN
- 1993-0623
- Language
- English
- Date published
- 11/01/2003
- Academic Unit
- Electrical and Computer Engineering
- Record Identifier
- 9984573938802771
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