A student's t filter for heavy tailed process and measurement noise
2013 (English)In: Proceedings of the 38th International Conference on Acoustics, Speech, and Signal Processing (ICASSP), IEEE conference proceedings, 2013, 5770-5774 p.Conference paper (Refereed)
We consider the filtering problem in linear state space models with heavy tailed process and measurement noise. Our work is based on Student's t distribution, for which we give a number of useful results. The derived filtering algorithm is a generalization of the ubiquitous Kalman filter, and reduces to it as special case. Both Kalman filter and the new algorithm are compared on a challenging tracking example where a maneuvering target is observed in clutter.
Place, publisher, year, edition, pages
IEEE conference proceedings, 2013. 5770-5774 p.
Student's t distribution, Kalman filter, robustness, outliers
IdentifiersURN: urn:nbn:se:liu:diva-93704DOI: 10.1109/ICASSP.2013.6638770ISI: 000329611505188ISBN: 978-1-4799-0356-6OAI: oai:DiVA.org:liu-93704DiVA: diva2:626636
38th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013; Vancouver, BC; Canada
FunderEU, FP7, Seventh Framework Programme, 238710