Robust Frequency Domain ARMA Modelling
نویسندگان
چکیده
In this paper a method for the rejection of frequency domain outliers is proposed. The algorithm is based on the work by Huber on M-estimators and the concept of influence function introduced by Hampel. The estimation takes place in the context of frequency domain continuous-time ARMA modelling, but the method can be also be applied to the discrete time case.
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