Robust coefficient estimation of Walsh functions
作者:
H.Dai,
N.K.Sinha,
期刊:
IEE Proceedings D (Control Theory and Applications)
(IET Available online 1990)
卷期:
Volume 137,
issue 6
页码: 357-363
年代: 1990
DOI:10.1049/ip-d.1990.0047
出版商: IEE
数据来源: IET
摘要:
An iterative least squares method with modified residuals is presented which is dedicated to the robust coefficient estimation of Walsh functions for time series contaminated with noise, some of which may even be outliers. Instead of the mean-square approximation error (MSE), a robust criterion is proposed for estimating the coefficients of the time series. It is minimised by applying the ordinary iterative Gauss-Newton approach so that an arbitrary function, which is absolutely integrable in the interval [0,T), can be properly approximated by the firstMWalsh functions. A proof of convergence of the proposed method is provided. Results of simulation confirming robustness and convergence of the robust estimates are included. This method should be of great value in real-life situations.
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