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Further Results on a Modified EM Algorithm for Parameter Estimation in Linear Models with Time-Dependent Autoregressive and t-Distributed Errors

  • Boris KargollEmail author
  • Mohammad Omidalizarandi
  • Hamza Alkhatib
  • Wolf-Dieter Schuh
Conference paper
Part of the Contributions to Statistics book series (CONTRIB.STAT.)

Abstract

In this contribution, we consider an expectation conditional maximization either (ECME) algorithm for the purpose of estimating the parameters of a linear observation model with time-dependent autoregressive (AR) errors. The degree of freedom (d.o.f.) of the underlying family of scaled t-distributions, which is used to account for outliers and heavy-tailedness of the white noise components, is adapted to the data, resulting in a self-tuning robust estimator. The time variability of the AR coefficients is described by a second linear model. We improve the estimation of the d.o.f. in a previous version of the ECME algorithm, which involves a zero search, by using an interval Newton method. We model the transient oscillations of a shaker table measured by a high-accuracy accelerometer, and we analyze various criteria for selecting a simultaneously parsimonious and realistic time-variability model.

Keywords

Linear model Time-dependent AR process Scaled t-distribution Self-tuning robust estimator EM algorithm Vibration analysis 

Notes

Acknowledgements

The presented application of the PCB Piezotronics accelerometer within the vibration analysis experiment was performed as a part of the collaborative project “Spatio-temporal monitoring of bridge structures using low cost sensors” with ALLSAT GmbH, which is funded by the German Federal Ministry for Economic Affairs and Energy (BMWi) and the Central Innovation Programme for SMEs (ZIM Kooperationsprojekt, ZF4081803DB6). In addition, the authors acknowledge the Institute of Concrete Construction (Leibniz Universität Hannover) for providing the shaker table and the reference accelerometer.

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Copyright information

© Springer Nature Switzerland AG 2018

Authors and Affiliations

  • Boris Kargoll
    • 1
    Email author
  • Mohammad Omidalizarandi
    • 1
  • Hamza Alkhatib
    • 1
  • Wolf-Dieter Schuh
    • 2
  1. 1.Leibniz Universität Hannover, Geodätisches InstitutHannoverGermany
  2. 2.Rheinische Friedrich-Wilhelms-Universität BonnInstitut für Geodäsie und GeoinformationBonnGermany

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