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Article Dans Une Revue Journal of Statistical Theory and Practice Année : 2010

Probabilistic set-membership approach for robust regression

Luc Jaulin

Résumé

Interval constraint propagation methods have been shown to be efficient and reliable to solve difficult nonlinear bounded-error estimation problems. However they are considered as unsuitable in a probabilistic context, where the approximation of a probability density function by a set cannot be accepted as reliable. This paper shows how probabilistic estimation problems can be transformed into a set estimation problem by assuming that some rare events will never happen. Since the probability of occurrence of those rare events can be computed, we can give some prior lower bounds for the probability associated to solution set of the corresponding set estimation problem. The approach will be illustrated on a parameter estimation problem.
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Dates et versions

hal-00450104 , version 1 (25-01-2010)

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  • HAL Id : hal-00450104 , version 1

Citer

Luc Jaulin. Probabilistic set-membership approach for robust regression. Journal of Statistical Theory and Practice, 2010, 4 (1), pp.155-167. ⟨hal-00450104⟩
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