A random Least Trimmed Squares identification algorithm
A random Least Trimmed Squares identification algorithm
The least-trimmed-squares (LTS) estimator is a robust estimator in terms of protecting the estimate from the outliers, but it possesses a high computational complexity. The author proposes a random LTS algorithm having a low computational complexity and that can be calculated a priori as a function of the required error bound and the confidence interval. If the number of data points goes to infinity then the algorithm becomes a deterministic one, converging to the true LTS in some probability sense.
- University of Iowa United States
least squares estimation, least trimmed squares estimation, Least squares and related methods for stochastic control systems, Randomized algorithms, random algorithms, System identification, parameter estimation, system identification
least squares estimation, least trimmed squares estimation, Least squares and related methods for stochastic control systems, Randomized algorithms, random algorithms, System identification, parameter estimation, system identification
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