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Variational Iterations for Filtering and Smoothing with skew-t measurement noise
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology. (Automatic Control)
Department of Automation Science and Engineering, Tampere University of Technology, Finland.ORCID iD: 0000-0003-0949-8848
Department of Automation Science and Engineering, Tampere University of Technology, Finland.ORCID iD: 0000-0003-1158-6951
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology. (Automatic Control)
2015 (English)Report (Other academic)
Abstract [en]

In this technical report, some derivations for the filter and smoother proposed in [1] are presented. More specifically, the derivations for the cyclic iteration needed to solve the variational Bayes filter and smoother for state space models with skew t likelihood proposed in [1] are presented.
Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2015. , p. 9
Series
LiTH-ISY-R, ISSN 1400-3902 ; 3083
Keywords [en]
skew t-distribution, skewness, t-distribution, robust filtering, Kalman filter, RTS smoother, variational Bayes
National Category
Signal Processing
Identifiers
URN: urn:nbn:se:liu:diva-115741ISRN: LiTH-ISY-R-3083OAI: oai:DiVA.org:liu-115741DiVA, id: diva2:797463
Funder
Swedish Research Council, 621-2010-4301
Note

The technical report is related to the paper:

[1] H. Nurminen, T. Ardeshiri, R. Piché, and F. Gustafsson, “Robust inference for state-space models with skewed measurement noise,” submitted to Signal Processing Letters, 2015, [Online]. Available: http://arxiv.org/abs/1503.06606

Available from: 2015-03-24 Created: 2015-03-18 Last updated: 2015-04-07Bibliographically approved

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Ardeshiri, TohidNurminen, HenriPichè, RobertGustafsson, Fredrik

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • 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
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