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A student's t filter for heavy tailed process and measurement noise
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
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, Published paper (Refereed)
Abstract [en]

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.
Keyword [en]
Student's t distribution, Kalman filter, robustness, outliers
National Category
Signal Processing
Identifiers
URN: urn:nbn:se:liu:diva-93704DOI: 10.1109/ICASSP.2013.6638770ISI: 000329611505188ISBN: 978-1-4799-0356-6 (print)OAI: oai:DiVA.org:liu-93704DiVA: diva2:626636
Conference
38th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013; Vancouver, BC; Canada
Projects
MC Impulse
Funder
EU, FP7, Seventh Framework Programme, 238710
Available from: 2013-06-10 Created: 2013-06-10 Last updated: 2014-12-02

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Roth, Michael

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf