Robust Sequential Approximate Bayesian Estimation
Michael L. West · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1981
SUMMARY An approximation to the sequential updating of the distribution of location parameters of a linear time series model is developed for non-normal observations. The behaviour of the resulting non-linear recursive filtering algorithm is examined and shown to have certain desirable properties for a variety of non-normal error distributions. Illustrative examples are given and relationships with previous work on robustness and sequential estimation are mentioned.