ar_est_bip_tau: ar_est_bip_tau

In Mufabo/Rrobustsp: Robust Signal Processing

ar_est_bip_tau

Description

The function ar_est_bip_tau(x,P) comuptes BIP S-estimates of the AR model parameters. It also computes an outlier cleaned signal using BIP-AR(P) predictions, and the M-scale of the estimated innovations series.

Usage

ar_est_bip_tau(x, P)

Arguments

x:	data (observations/measurements/signal)
P:	autoregressive order

Value

phi_hat: a vector of bip tau estimates for each order up to P

x_filt: cleaned version of x using robust BIP predictions

a_scale_final: minimal tau scale of the innovations of BIP AR or AR

Note

File location: dependentData_arEstBipTau.R

References

"Robust Statistics for Signal Processing" Zoubir, A.M. and Koivunen, V. and Ollila, E. and Muma, M. Cambridge University Press, 2018.

"Bounded Influence Propagation τ-Estimation: A New Robust Method for ARMA Model Estimation." Muma, M. and Zoubir, A.M. IEEE Transactions on Signal Processing, 65(7), 1712-1727, 2017.

Examples

x <- c(0.8884 ,  -1.1471 ,  -1.0689 ,  -0.8095 ,  -2.9443 ,   1.4384  ,  0.3252 ,  -0.7549)
ar_est_bip_tau(x, 1)

Mufabo/Rrobustsp documentation built on June 11, 2022, 10:41 p.m.