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Adjustment of Gauss-Helmert Models with Autoregressive and Student Errors
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In this contribution, we extend the Gauss-Helmert model (GHM) with t-distributed errors (previously established by K.R. Koch) by including autoregressive (AR) random deviations. This model allows us to take into account unknown forms of colored noise as well as heavy-tailed white noise components within observed time series. We show that this GHM can be adjusted in principle through constrained maximum likelihood (ML) estimation, and also conveniently via an expectation maximization (EM) algorithm. The resulting estimator is self-tuning in the sense that the tuning constant, which occurs here as the degree of freedom of the underlying scaled t-distribution and which controls the thickness of the tails of that distribution’s probability distribution function, is adapted optimally to the actual data characteristics. We use this model and algorithm to adjust 2D measurements of a circle within a closed-loop Monte Carlo simulation and subsequently within an application involving GNSS measurements.
KeywordsAutoregressive process Circle fitting Constrained maximum likelihood estimation Expectation maximization algorithm Gauss-Helmert model Scaled t-distribution Self-tuning robust estimator
Funded by the Deutsche Forschungsgemeinschaft (DFG, German Research Foundation) – 386369985.
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