Recursive versions Of the algorithm by krasker and welsch |
| |
Authors: | Jan-Eric Engund |
| |
Affiliation: | Department of Mathematical Statistics , University of Lund , Box 118, LUND, S-221 00, Sweden |
| |
Abstract: | Krasker and Welsch proposed an estimator related to GM-esti-mators for robust estimation in the classical linear model. In this paper we use standard methods for creating recursive algorithms to formulate a recursive version of their estimator. We also observe that a slight modification of the basic estimator by Krasker and Welsch has some symmetry properties which can be utilized to formulate an alternative recursive algorithm. The performance of the two algorithms for estimation of AR-parameters is studied in simulations. These indicate that both methods work well, though the second one seems to be slightly better. Hence the modified estimator introduced in this paper may be better suited for recursive versions. |
| |
Keywords: | robust estimation recursive algorithm adaptive stochastic approximation Linear model |
|
|