[1] K. K. Aase: Recursive estimation in non-linear time series models of autoregressive type. J. Roy. Statist. Soc. Ser. B 45 (1983), 228-237. MR 0721750 | Zbl 0524.62085

[2] B. D. O. Anderson, J. B. Moore: Optimal Filtering. Prentice-Hall, Englewood Cliffs, New Jersey 1979. Zbl 0688.93058

[3] A. E. Bryson, J. C. Ho: Applied Optimal Control. J. Wiley, New York 1975. MR 0446628

[4] K. Campbell: Recursive computation of M-estimates for the parameters of a finite autoregressive process. Ann. Statist. 10 (1982), 442-453. MR 0653519 | Zbl 0492.62076

[5] J. E. Englund: Multivariate Recursive M-estimators of Location and Scatter for Dependent Sequences. Research Report, University of Lund and Lund Institute of Technology 1988.

[6] A. A. Ershov, R. S. Liptser: Robust Kalman filter in discrete time. Automat. Remote Control 39 (1978), 359-367. Zbl 0417.93070

[7] E. J. Hannan: Multiple Time Series. J. Wiley, New York 1970. MR 0279952 | Zbl 0211.49804

[8] P. J. Harrison, C. F. Stevens: Bayesian forecasting. J. Roy. Statist. Soc. Ser. B 38 (1976), 205-247. MR 0655429 | Zbl 0349.62062

[9] U. Holst: Convergence of a recursive stochastic algorithm with m-dependent observations. Scand. J. Statist. 7 (1980), 207-215. MR 0605992 | Zbl 0455.62065

[10] U. Hoist: Convergence of a recursive robust algorithm with strongly regular observations. Stochastic Process. Appl. 16 (1984), 305-320. MR 0723851

[11] P. J. Huber: Robust Statistics. J. Wiley, New York 1981. MR 0606374 | Zbl 0536.62025

[12] R. D. Martin: Robust estimation for time series autoregressions. In: Robustness in Statistics (R. L. Launer and G. N. Wilkinson, eds.), Academic Press, New York 1979, pp. 147-176.

[13] C. J. Masreliez: Approximate non-Gaussian filtering with linear state and observation relations. IEEE Trans. Automat. Control AC-20 (1975), 107-110. Zbl 0298.93018

[14] C. J. Masreliez, R. D. Martin: Robust Bayesian estimation for the linear model and robustifying the Kalman filter. IEEE Trans. Automat. Control AC-22 (1977), 361 - 371. MR 0453124 | Zbl 0354.93054

[15] R. J. Meinhold, N. D. Singpurwalla: Robustification of Kalman filter models. J. Amer. Statist. Assoc. 84 (1989), 479-486. MR 1010336

[16] M. Pantel: Adaptive Verfahren der stochastischen Approximation. Dissertation, Universitiit Essen 1979.

[17] D. Peňa, J. Guttman: Optimal collapsing of mixture distributions in robust recursive estimation. Comm. Statist. Theory Methods 18 (1989), 817-833. MR 1001623

[18] B. T. Polyak, Ya. Z. Tsypkin: Adaptive estimation algorithms: convergence, optimality, stability (in Russian). Avtomat. Telemekh. (1979), 3, 71-84. MR 0544876

[19] B. T. Polyak, Ya. Z. Tsypkin: Optimal methods of estimation of autoregressive parameters under incomplete information (in Russian). Tekh. kibernet. (1983), 1, 118-126. MR 0736269

[20] H. Robbins, D. Siegmund: A convergence theorem for non negative almost supermartingales and some applications. In: Optimizing Methods in Statistics (J. S. Rustagi, ed.), Academic Press, New York 1971, pp. 233 - 257. MR 0343355 | Zbl 0286.60025

[21] L. D. Servi, Y. C. Ho: Recursive estimation in the presence of uniformly distributed measurement noise. IEEE Trans. Automat. Control AC-26 (1981), 563-565. MR 0613583 | Zbl 0475.93065

[22] N. Stockinger, R. Dutter: Robust Time Series Analysis: A Survey. Supplement to Kybernetika vol. 23 (1987). MR 0921397 | Zbl 0652.62088

[23] Yu. Sh. Verulava: Convergence of a stochastic approximation algorithm for estimating an autoregressive parameter (in Russian). Avtomat. Telemekh. (1981), 7, 115-119. MR 0647669