Recursive Robust Estimation of Dynamic Systems Parameters

In the previolls pa.per (Pupeikis, 1990) the problem of model order determination in the presence of outliers in observations has been considered. The aim of t.he given paper is the development of the recursive algorithms of comput.ation of l\1estimates ensuring their stability conditions. In this conneciion the approa.ch, based on adaptive Huber's monot.one psi-function. is worked out. It. is also used for the detection of the outliers in time series and for the correction both outliers and M-estimates during successive calculations. The results of numeri<;a.l simula.tion by comput.er (Fig. 1 and Table 1) are given.