Robust MLE for stochastic state space model with observation outliers

  • J. Almutawa*
  • *Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

1 Scopus citations

Abstract

The objective of this paper is to develop a robust maximum likelihood estimates (MLE) for the stochastic state space model via the expectation maximization (EM) algorithm to cope with observation outliers. Two types of outliers and their influence have been studied in this sequel namely the additive (AO) and innovative outliers (IO). Due to the sensitivity of the MLE to AO and IO we propose two techniques for robustifying the MLE: the weighted maximum likelihood estimate (WMLE) and the trimmed maximum likelihood estimate (TMLE). The WMLE is easy to implement, however it is still sensitive to IO. On the other hand, the TMLE is a combinatorial optimization problem and hard to implement but it is efficient to all types of outliers presented here. A Monte Carlo simulation result shows the efficiency of of the TMLE and WMLE based on the EM algorithm.

Original languageEnglish
Title of host publicationASCC 2011 - 8th Asian Control Conference - Final Program and Proceedings
PublisherIEEE Computer Society
Pages1460-1465
Number of pages6
ISBN (Print)9788995605646
StatePublished - 2011

Publication series

NameASCC 2011 - 8th Asian Control Conference - Final Program and Proceedings

ASJC Scopus subject areas

  • Control and Systems Engineering

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