robust estimation

This paper addresses the system identification problem, as well its application to robust fault detection, considering parametric uncertainty and using zonotopes. As a result, Zonotopic Recursive Least Squares (ZRLS) estimator is proposed compared with Setmembership (SM) approach when applied taking reference minimum detectable generated in worst-case. To illustrate effectiveness of parameter e...

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The effect of parameter estimation on Phase II control chart performance in monitoring financial GARCH processes with contaminated data

Journal: Journal of Industrial and Systems Engineering 2017

Amirhossein Amiri, Hojatollah Sadeghi, Mohammad Hadi Doroudyan, Mohammad Salleh Owlia,

The application of control charts for monitoring financial processes has received a greater focus after recent global crisis. The Generelized AutoRegressive Conditional Heteroskedasticity (GARCH) time series model is widely applied for modelling financial processes. Therefore, traditional Shewhart control chart is developed to monitor GARCH processes. There are some difficulties in financial su...

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Bayes, E-Bayes and Robust Bayes Premium Estimation and Prediction under the Squared Log Error Loss Function

Journal: Journal of the Iranian Statistical Society 2018

Azadeh Kiapour,

In risk analysis based on Bayesian framework, premium calculation requires specification of a prior distribution for the risk parameter in the heterogeneous portfolio. When the prior knowledge is vague, the E-Bayesian and robust Bayesian analysis can be used to handle the uncertainty in specifying the prior distribution by considering a class of priors instead of a single prior. In th...

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