112 research outputs found
R Package distrMod: S4 Classes and Methods for Probability Models
Package distrMod provides an object oriented (more specifically S4-style) implementation of probability models. Moreover, it contains functions and methods to compute minimum criterion estimators - in particular, maximum likelihood and minimum distance estimators.
Robust Kalman tracking and smoothing with propagating and non-propagating outliers
A common situation in filtering where classical Kalman filtering does not
perform particularly well is tracking in the presence of propagating outliers.
This calls for robustness understood in a distributional sense, i.e.; we
enlarge the distribution assumptions made in the ideal model by suitable
neighborhoods. Based on optimality results for distributional-robust Kalman
filtering from Ruckdeschel[01,10], we propose new robust recursive filters and
smoothers designed for this purpose as well as specialized versions for
non-propagating outliers. We apply these procedures in the context of a GPS
problem arising in the car industry. To better understand these filters, we
study their behavior at stylized outlier patterns (for which they are not
designed) and compare them to other approaches for the tracking problem.
Finally, in a simulation study we discuss efficiency of our procedures in
comparison to competitors.Comment: 27 pages, 12 figures, 2 table
L_2 Differentiability of Generalized Linear Models
We derive conditions for differentiability of generalized linear models
with error distributions not necessarily belonging to exponential families,
covering both cases of stochastic and deterministic regressors. These
conditions induce smoothness and integrability conditions for corresponding
GLM-based time series models.Comment: 10 page
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